IDEAS home Printed from https://ideas.repec.org/a/bla/stanee/v52y1998i3p336-355.html
   My bibliography  Save this article

Structural analysis of portfolio risk using beta impulse response functions

Author

Listed:
  • C. M. Hafner
  • H. Herwartz

Abstract

We estimate the data generating process of daily excess returns of 20 major German stocks in a CAPM framework with time varying betas. Our sample spans a 23 year period from 1974 to 1996. An asymmetric dependence of volatility on lagged innovations is taken into account. We introduce beta impulse response functions to shed light on the structural implications of systematic risk associated with competing volatility models. The dependence of beta on news is characterized with respect to different sources (asset specific vs. market general news). The empirical results suggest that negative news emerging from the market involve a stronger impact on beta relative to positive news. Concerning firm specific news the opposite relation is found for the majority of the analysed data sets.

Suggested Citation

  • C. M. Hafner & H. Herwartz, 1998. "Structural analysis of portfolio risk using beta impulse response functions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(3), pages 336-355, November.
    • Handle: RePEc:bla:stanee:v:52:y:1998:i:3:p:336-355
    DOI: 10.1111/1467-9574.00088
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9574.00088
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9574.00088?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hafner, Christian M., 2000. "Fourth moments of multivariate GARCH processes," SFB 373 Discussion Papers 2000,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Wolfgang Haerdle & Helmut Herwartz & Volodia Spokoiny, 2000. "Time Inhomogeneous Multiple Volatility Modelling," Econometric Society World Congress 2000 Contributed Papers 1429, Econometric Society.
    3. Helmut Herwartz & Helmut Lütkepohl, 2000. "Multivariate volatility analysis of VW stock prices," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 9(1), pages 35-54, March.
    4. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
    5. Christian M. Hafner & Helmut Herwartz, 2008. "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
    6. Romain Menier & Guillaume Bagnarosa & Alexandre Gohin, 2023. "On the dependence structure of European vegetable oil markets," Post-Print hal-04523660, HAL.
    7. Jelena Z. Minović & Boško R. Živković, 2010. "Open Issues In Testing Liquidity In Frontier Financial Markets: The Case Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 55(185), pages 33-62, April - J.
    8. Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020. "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 387-414, September.

    More about this item

    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:bla:stanee:v:52:y:1998:i:3:p:336-355. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402 .

    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.