No Low Volatility Effect in Low Volatility Market

• 발행기관: 한국자료분석학회
• 저자명: 정현종(Hyeon-Jong Jung) 강형구(Hyoung-Goo Kang)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.3, 1225~1233쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.06.30

영문 초록

Low volatility effect or low volatility anomaly has been well documented in recent empirical studies. Stocks with recent high volatility have shown low future average returns across the world. These findings were not only economically but also statistically meaningful. This paper tries to find more insight on the low volatility effect focusing on the relationship between low volatility effect and volatility level of equity market. Major findings in this paper are as follows: Low volatility effect exists in the Korean stock market. However, low volatility effect is not significant when volatility level of the stock market is low. The low volatility effect exists only in period of above average market volatility and disappears in times of below average market volatility which implies No low volatility effect in low volatility market . In regression analysis, we construct zero-cost portfolio which takes long position in the lowest volatility portfolio and short position in the highest volatility portfolio. Volatility level of stock market has a positive relationship with returns from zero-cost portfolio and explains abnormal returns uncaptured by 3 factor model.

목차

1. Introduction

2. Data and Portfolio Composition

3. Test Results

4. Conclusions

References

키워드

Anomaly Idiosyncratic volatility Expected return Low volatility effect