Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach
| Autor: | Tihana Škrinjarić, Boško Šego |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
HF5001-6182
Financial economics Restructuring Zagreb Stock Exchang DCC and CCC GARCH risk hedging volatility Autoregressive conditional heteroskedasticity Economics Econometrics and Finance (miscellaneous) Management Information Systems Management of Technology and Innovation 0502 economics and business Economics Trading strategy Business 050207 economics Business management dcc and ccc garch 050208 finance 05 social sciences Financial market zagreb stock exchange Zagreb Stock Exchange Portfolio c58 g12 Volatility (finance) Information Systems |
| Zdroj: | Business Systems Research, Vol 7, Iss 2, Pp 78-90 (2016) Business Systems Research : International journal of the Society for Advancing Innovation and Research in Economy Volume 7 Issue 2 |
| ISSN: | 1847-9375 |
| Popis: | Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection. |
| Databáze: | OpenAIRE |
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