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- W2351855180 abstract "This paper applies different first-order Markov process to model the regime-switching behavior of market volatility and systematic risk of industry portfolios based a sample of 22 industry stock indexes and market index of Shenzhen Stock Exchange,and further investigates the association between systematic risk regimes of industry portfolios and market volatility regimes.The empirical analysis results indicate that both market portfolio and industry portfolios have strong two-regime switching behavior.Through estimated conditional probabilities of systematic risk regimes of industry portfolios across different market volatility regimes,we find 8 industry portfolios display a positive association between systematic risk regimes and market volatility regimes and 8 industry portfolios display a negative association between systematic risk regimes and market volatility regimes,and the rest industry portfolios display no significant association between systematic risk regimes and market volatility regimes.Dynamic portfolio management can be made based on association between systematic risk regimes and market volatility regimes." @default.
- W2351855180 created "2016-06-24" @default.
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- W2351855180 date "2011-01-01" @default.
- W2351855180 modified "2023-09-24" @default.
- W2351855180 title "Association between Regime-Switching Systematic Risk and Market Volatility of Industry Portfolios:Empirical Evidence from Shenzhen Stock Market" @default.
- W2351855180 hasPublicationYear "2011" @default.
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