publication . Thesis . 2013

Measuring the relationship between intraday returns, volatility spill–overs and market beta during financial distress

Brewer, Wayne Peter;
Open Access English
  • Published: 01 Jan 2013
  • Country: South Africa
Abstract
MCom (Risk Management), North-West University, Potchefstroom Campus, 2013 The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock portfolio is highly correlated with the market, and considered to be entirely hedged against unsystem...
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Subjects
free text keywords: Modern portfolio theory, Efficient market hypothesis, Market beta, Volatility spill-over effects, E-GARCH, Aggregate shock model, Moderne portefeuljeteorie, Doeltreffende markhipotese, Mark-beta, Volatiliteit-oorspoel effekte, Kumulatiewe-skokmodel
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