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  • 标题:Dynamic portfolios inter
  • 本地全文:下载
  • 作者:Athanasios Koulakioti ; Apostolos Kiohos ; Nicholas Papasyriopoulos
  • 期刊名称:Investment Management & Financial Innovations
  • 印刷版ISSN:1810-4967
  • 电子版ISSN:1812-9358
  • 出版年度:2014
  • 卷号:11
  • 期号:2
  • 页码:86-99
  • 语种:English
  • 出版社:LLC “Consulting Publishing Company “Business Perspectives”
  • 摘要:This paper examines volatility and error interdependence for portfolios that we created and based on the classification of Timeliness of Earnings regression on stock price returns.Data comprises 124 Greek companies from ASE(Athens Stock Exchange).This classification contains three portfolios of equities,the 18 highest,36 middle and 70 smallest stocks,according to the R-squared values.We also compare the interdependence of the above portfolios with three original portfolio indices made by ASE authorities.We use two econometric approaches;a martingale one for the return equation and a nested one for the variance equation of the GARCH-BEKK model. We find that portfolios made by Timeliness of Earnings metric(created)are more 'error spillover'oriented with the martingale approach and more 'volatility spillover'oriented with the nested approach.In addition,the original portfolio indices give similar results with the two econometric approaches,however small differences do exist.In particular,we find that the original portfolios of equities are more 'volatility oriented'with the martingale approach.Thus, diversifying and focussing on Timeliness of Earnings portfolios,investors can make profits,if they follow an effective and alternative strategy with economic and financial potentiality for them.Finally,in ASE for different portfolios and methodologies both volatility and noise play substantial role in the process of integration and influence the decision of investors.
  • 关键词:interdependencies;portfolio risk analysis;GARCH-BEKK;Athens Stock Market.
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