IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-981-19-9479-1_5.html
   My bibliography  Save this book chapter

Measuring the Relationship Between Intraday Returns, Volatility Spillovers, and Market Beta During Financial Distress

In: Business Research

Author

Listed:
  • André Heymans

    (North-West University)

  • Wayne Brewer

    (North-West University)

Abstract

This study provides an additional measure to market beta to construct a more efficient portfolio. The additional measure analyses the volatility spillover effects between stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spillover effects were estimated within a residual-based test (aggregate shock [AS] model) framework. It was shown that when a particular stock attracts fewer spillover effects from the other stocks in the portfolio, then the overall portfolio volatility decreased as well. In most cases, market beta showcased similar results. Therefore, to construct a more efficient portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based), but also includes stocks with the least amount of volatility spillover effects among each other. To test the impact of volatility spillover effects among stocks in a portfolio on the overall portfolio volatility, this research had to follow an experimental approach—constructing a proxy portfolio by means of a Monte Carlo simulation. Since the spillover effects between the simulated stocks and the portfolio could be measured in absolute terms, the research best suited to this investigation was a deductive approach, following from a positivist research philosophy.

Suggested Citation

  • André Heymans & Wayne Brewer, 2023. "Measuring the Relationship Between Intraday Returns, Volatility Spillovers, and Market Beta During Financial Distress," Springer Books, in: Pieter W. Buys & Merwe Oberholzer (ed.), Business Research, chapter 0, pages 77-98, Springer.
    • Handle: RePEc:spr:sprchp:978-981-19-9479-1_5
    DOI: 10.1007/978-981-19-9479-1_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Deductive approach; Efficient market hypothesis; Experimental research; Market beta; Volatility spillovers;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-981-19-9479-1_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.