Return dispersion and price volatility: a moderated analysis on portfolio management strategies

• Autorzy: Najmudin , Arintoko , Sudarto , Nur Utomo Mohamad

Identyfikatory

DOI

10.17512/pjms.2024.29.1.15

Warianty tytułu

PL

Dyspersja zwrotów i zmienność cen: analiza moderowana strategii zarządzania portfelem produktów

• Języki publikacji: EN

Abstrakty

EN

The is study aims to analyze the effect of return dispersion on price return volatility and to analyze the moderator role of book-to-market that can weaken the causal effect based on the portfolio management framework. This paper specifically examines the causal effect at sub-group level of value and growth stocks portfolios. The sample observed are stocks covered in the index SSE-50 in China, DJI-30 in the United States, LQ-45 in Indonesia, and KLCI-30 in Malaysia. The observation period was during the covid-19 pandemic from 1 April 2020 to 30 March 2021. The analytical approaches applied are the GARCH(p,q) model, the hierarchical moderated regression analysis (HMRA) procedure, and the ordinary least squared technique. The findings of the investigation show that when the estimation models are not separated into sub-groups, return dispersion positively influences return volatility. However, when the return dispersion is grouped based on the magnitude of BMR, the estimation results on the causality effect from dispersion of return to price return volatility show an insignificant effect for all sub-groups of value, neutral, and growth stocks. Specifically, when a company has a higher BMR, increased dispersion of return on such value stock does not change in its return volatility. As an implication, portfolio managers and market participants could minimize the uncertainty of price movements and eliminate share trading delays by implementing a strategy of style investing and selecting shares to form a value-type portfolio. Moreover, the companies should manage the position of their book value to remain classified as the value stocks segment, which could maintain the interest of market participants and lower the cost of capital.

PL

Celem niniejszego badania jest analiza wpływu dyspersji zwrotów na zmienność cen zwrotu oraz zbadanie roli wskaźnika księgowej wartości rynkowej (BMR) jako moderatora, który może osłabiać efekt przyczynowy w ramach zarządzania portfelem. Artykuł ten szczególnie bada efekt przyczynowy na poziomie podgrup portfeli akcji wartościowych i wzrostowych. Próba badawcza obejmuje akcje z indeksów SSE-50 w Chinach, DJI-30 w Stanach Zjednoczonych, LQ-45 w Indonezji i KLCI-30 w Malezji. Okres obserwacji obejmował pandemię COVID-19 od 1 kwietnia 2020 r. do 30 marca 2021 r. Zastosowane podejścia analityczne to model GARCH(p,q), procedura hierarchicznej moderowanej analizy regresji (HMRA) oraz technika najmniejszych kwadratów (OLS). Wyniki badania pokazują, że gdy modele estymacyjne nie są podzielone na podgrupy, dyspersja zwrotów pozytywnie wpływa na zmienność zwrotów. Jednakże, gdy dyspersja zwrotów jest grupowana na podstawie wielkości BMR, wyniki estymacji efektu przyczynowego dyspersji zwrotów na zmienność cen zwrotów wykazują nieistotny wpływ dla wszystkich podgrup akcji wartościowych, neutralnych i wzrostowych. W szczególności, gdy firma ma wyższy wskaźnik BMR, zwiększona dyspersja zwrotów na takich akcjach wartościowych nie zmienia ich zmienności zwrotów. W konsekwencji, zarządzający portfelami i uczestnicy rynku mogliby zminimalizować niepewność ruchów cen i wyeliminować opóźnienia w handlu akcjami, wdrażając strategię inwestowania w stylu i wybierając akcje do tworzenia portfela typu wartościowego. Ponadto, firmy powinny zarządzać pozycją swojej wartości księgowej, aby pozostać zaklasyfikowane jako segment akcji wartościowych, co mogłoby utrzymać zainteresowanie uczestników rynku i obniżyć koszt kapitału.

Słowa kluczowe

EN

book-to-market; portfolio management; price volatility; return dispersion; style investing

PL

wartość księgowa do rynkowej; zarządzanie portfelem; zmienność cen; dyspersja zwrotów; style inwestowania

• Wydawca: Czestochowa University of Technology
• Czasopismo: Polish Journal of Management Studies
• Rocznik: 2024
• Tom: Vol. 29, No. 1
• Strony: 255--271
• Opis fizyczny: Bibliogr. 45 poz., rys., tab.

Twórcy

autor

Najmudin

• Faculty of Economics and Business, Universitas Jenderal Soedirman, Indonesia

• https://orcid.org/0000-0003-2201-6292

autor

Arintoko

• Universitas Jenderal Soedirman, Indonesia

• https://orcid.org/0000-0002-7246-546X

autor

Sudarto

• Universitas Jenderal Soedirman, Indonesia

• https://orcid.org/0009-0002-6721-9325

autor

Nur Utomo Mohamad

• Universitas Borneo Tarakan, Indonesia

• https://orcid.org/0000-0000-0000-0000

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2024).