Revisiting the size effect in the Bovespa
The size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold. First, we examine price and volatility linkages among large, medium, and small firms empl...
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| Format: | Article |
| Language: | English |
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Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo
2017-08-01
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| Series: | RAE: Revista de Administração de Empresas |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71356/68818 |
| _version_ | 1797712429194412032 |
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| author | Maria del Mar Miralles-Quiros Jose Luis Miralles-Quiros Luis Miguel Gonçalves |
| author_facet | Maria del Mar Miralles-Quiros Jose Luis Miralles-Quiros Luis Miguel Gonçalves |
| author_sort | Maria del Mar Miralles-Quiros |
| collection | DOAJ |
| description | The size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold. First, we examine price and volatility linkages among large, medium, and small firms employing a multivariate VAR-BEKK model. Second, we provide the out-of-sample performance of optimal portfolios constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that optimal portfolios are primarily composed of medium and small firms. Moreover, our findings reveal that using this technique, it is possible to reduce risk and outperform the naïve rule, which is usually employed by foreign investors interested in the Brazilian stock market. These findings are relevant not only for academics but also for practitioners because it is important an in-depth knowledge of stock market patterns in order to develop correct trading strategies. |
| first_indexed | 2024-03-12T07:21:40Z |
| format | Article |
| id | doaj.art-d6ec8ed29b12465cbcc0f595a704f46b |
| institution | Directory Open Access Journal |
| issn | 0034-7590 2178-938X |
| language | English |
| last_indexed | 2024-03-12T07:21:40Z |
| publishDate | 2017-08-01 |
| publisher | Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo |
| record_format | Article |
| series | RAE: Revista de Administração de Empresas |
| spelling | doaj.art-d6ec8ed29b12465cbcc0f595a704f46b2023-09-02T22:26:06ZengFundação Getulio Vargas, Escola de Administração de Empresas de São PauloRAE: Revista de Administração de Empresas0034-75902178-938X2017-08-01574317329Revisiting the size effect in the BovespaMaria del Mar Miralles-Quiros 0Jose Luis Miralles-Quiros 1Luis Miguel Gonçalves2Professor at Universidad de Extremadura, Facultad de Ciencias Económicas y Empresariales – Badajoz, SpainProfessor at Universidad de Extremadura, Facultad de Ciencias Económicas y Empresariales – Badajoz, SpainPh. D. Student at Universidad de Extremadura, Facultad de Ciencias Económicas y Empresariales – Badajoz, SpainThe size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold. First, we examine price and volatility linkages among large, medium, and small firms employing a multivariate VAR-BEKK model. Second, we provide the out-of-sample performance of optimal portfolios constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that optimal portfolios are primarily composed of medium and small firms. Moreover, our findings reveal that using this technique, it is possible to reduce risk and outperform the naïve rule, which is usually employed by foreign investors interested in the Brazilian stock market. These findings are relevant not only for academics but also for practitioners because it is important an in-depth knowledge of stock market patterns in order to develop correct trading strategies.http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71356/68818Multivariate GARCHoptimal strategiessize effectstatistical and economic significanceBovespa |
| spellingShingle | Maria del Mar Miralles-Quiros Jose Luis Miralles-Quiros Luis Miguel Gonçalves Revisiting the size effect in the Bovespa RAE: Revista de Administração de Empresas Multivariate GARCH optimal strategies size effect statistical and economic significance Bovespa |
| title | Revisiting the size effect in the Bovespa |
| title_full | Revisiting the size effect in the Bovespa |
| title_fullStr | Revisiting the size effect in the Bovespa |
| title_full_unstemmed | Revisiting the size effect in the Bovespa |
| title_short | Revisiting the size effect in the Bovespa |
| title_sort | revisiting the size effect in the bovespa |
| topic | Multivariate GARCH optimal strategies size effect statistical and economic significance Bovespa |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71356/68818 |
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