文章基本信息

标题：Asymmetric Volatility and Dynamic Asset Allocation
本地全文：下载
作者：Meng-Sung Hsieh ; Meng-Sung Hsieh
期刊名称：Accounting and Finance Research
印刷版ISSN：1927-5986
电子版ISSN：1927-5994
出版年度：2016
卷号：5
期号：2
DOI：10.5430/afr.v5n2p126
语种：English
出版社：Sciedu Press
摘要：This paper devises a stochastic volatility feedback (SVF) model to investigate the economic importance of the leverage and volatility feedback effects, both of which are the two main explanations for volatility asymmetry. We perform the dynamic asset allocation model under the SVF model and then assess the economic performances for the corresponding optimal investment strategies. Our findings are as follows. (i) the volatility feedback effect drives the intertemporal hedging demand, in contrast, the leverage effect has a minor effect on it; (ii) a longer investment horizon or a higher current volatility enhance the volatility feedback effect; (iii) ignoring the volatility feedback effect would suffer from tremendous economic loss.
关键词：Leverage effect;Volatility feedback effect;Stochastic volatility;Asset allocation