Volatility-based adjustments to portfolio risk assessment tools
The article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ signi...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Publishing House of the State University of Management
2023-02-01
|
| Series: | Вестник университета |
| Subjects: | |
| Online Access: | https://vestnik.guu.ru/jour/article/view/4121 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832541572551409664 |
|---|---|
| author | S. V. Korzhnev |
| author_facet | S. V. Korzhnev |
| author_sort | S. V. Korzhnev |
| collection | DOAJ |
| description | The article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ significantly for different volatility levels, that is, the coefficients in times of high volatility are significantly higher than those in times of low volatility. Correlations during periods of heightened volatility are key for assessing risks, since it is such volatility that characterizes negative market movements. The use of conventional correlation coefficients leads to an overestimation of the role of diversification in reducing the volatility in a portfolio of Russian assets and thus an underestimation of the investment portfolio risks. Risks can be assessed more accurately if correlation coefficients corresponding to periods of high volatility are used. |
| format | Article |
| id | doaj-art-c191cda4ba4e4069842d065f8e9fcf1b |
| institution | Kabale University |
| issn | 1816-4277 2686-8415 |
| language | English |
| publishDate | 2023-02-01 |
| publisher | Publishing House of the State University of Management |
| record_format | Article |
| series | Вестник университета |
| spelling | doaj-art-c191cda4ba4e4069842d065f8e9fcf1b2025-02-04T08:28:15ZengPublishing House of the State University of ManagementВестник университета1816-42772686-84152023-02-0111215416110.26425/1816-4277-2022-12-154-1612661Volatility-based adjustments to portfolio risk assessment toolsS. V. Korzhnev0State University of Management; Financial University under the Government of the Russian FederationThe article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ significantly for different volatility levels, that is, the coefficients in times of high volatility are significantly higher than those in times of low volatility. Correlations during periods of heightened volatility are key for assessing risks, since it is such volatility that characterizes negative market movements. The use of conventional correlation coefficients leads to an overestimation of the role of diversification in reducing the volatility in a portfolio of Russian assets and thus an underestimation of the investment portfolio risks. Risks can be assessed more accurately if correlation coefficients corresponding to periods of high volatility are used.https://vestnik.guu.ru/jour/article/view/4121russian stock marketdiversificationcorrelationrisk assessmentjennrich test |
| spellingShingle | S. V. Korzhnev Volatility-based adjustments to portfolio risk assessment tools Вестник университета russian stock market diversification correlation risk assessment jennrich test |
| title | Volatility-based adjustments to portfolio risk assessment tools |
| title_full | Volatility-based adjustments to portfolio risk assessment tools |
| title_fullStr | Volatility-based adjustments to portfolio risk assessment tools |
| title_full_unstemmed | Volatility-based adjustments to portfolio risk assessment tools |
| title_short | Volatility-based adjustments to portfolio risk assessment tools |
| title_sort | volatility based adjustments to portfolio risk assessment tools |
| topic | russian stock market diversification correlation risk assessment jennrich test |
| url | https://vestnik.guu.ru/jour/article/view/4121 |
| work_keys_str_mv | AT svkorzhnev volatilitybasedadjustmentstoportfolioriskassessmenttools |