The Economic Value of Portfolio Selection and Jump Volatility Timing Strategy: The Case of ASEAN and ABCPM

• Main Authors: Wang, Li-Jyun, 王立均
• Other Authors: Hung, Jui-Cheng
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/28484846495076504348

碩士 === 中國文化大學 === 財務金融學系 === 101 === Nowdays, owing to the changing perceptions of the public’ investment ideas, the investments are no longer limited within the national territory, and therefore the investment areas with multi advantages gradually become an important. However, the global financial crisis (2007-2013) has sprung up everywhere the ASEAN market and Latin America market somewhat neglected, being a new bright spot for the global investment. This study focus on the “five countries” in the ASEAN markets and the “ABC + PM” in the Latin American market, the former include Indonesia, Malaysia, the Philippines, Singapore and Thailand; the latter including Argentina, Brazil, Chile, Peru and Mexico etc. indexes. This study adopts the ARJI model to capture the extreme value of the price jump, caused as a result of the sudden event and adjust the rate of return of the market. At the same time, we utilize the DCC-GARCH model and DCC-ARJI-GARCH model to estimate the variance-covariance matrix in order to compute the portfolio weight of the ASEAN and ABCPM, and analyze compared with Sharpe ratio, economic value and transaction cost. We find that the jump adjusted return will have a better portfolio performance, and moreover, whatever under the maximized return or minimized variance, the dynamic volatility timing strategy with jump will be superior to the general volatility timing strategy.