Abstract
ABSTRACT This paper employs quantile autoregression to investigate the influence of ‘market size’ and ‘industry’ effects on the South African equity market volatility response to return shocks. It is now well documented that equity market volatility exhibits asymmetric response to positive and negative return shocks. This paper provides empirical evidence which shows that the South African equity market asymmetric volatility response is significantly a large company phenomenon and with the exception of the Resources 10 and Financials 15 Indices, there is generally no volatility asymmetric response heterogeneity at the sector level. These results have important implications for investors and fund managers in relation to portfolio construction, risk management and optimal equity risk premium determination.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
