Earticle

초록

영어

Motivated by the mixed findings of the existing literature, we investigate the performance of the volatility targeting strategy in four Asian equity markets based on a block-bootstrap simulation. We found no clear evidence of outperformance of the strategy against a 50/50 constant-mix portfolio, except in the Chinese market where volatility and tail risk are highest. The lack in performance has been attributed to an inability to detect the negative relationship between volatility and returns by all of the volatility forecasting models we consider. This may affect the capacity to reduce downside risk and tail risk but consistently causes a substantial drag on performance. Owing to forecasting errors, the strategy appears to perform considerably better and easier to implement in practice when using a model with low sensitivity to volatility changes along with a rebalancing buffer.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Target volatility strategy
Ⅲ. Volatility forecasting
Ⅳ. Data description
Ⅴ. Methodology
Ⅵ. Empirical findings
1. Volatility forecasting results
2. Bootstrap simulation results
3. Robustness check
Ⅶ. Conclusion
References

키워드

저자

• Zouari Hammadi [ Assistant professor of finance at the High Institute of Management of Gabes, Tunisia ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330