Efficient Portfolio Diversification

Changing UK Stock Market Sector and Sub-Sector Volatilities, 1968-2000

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility in the UK 1967‐2000, explains the methodology, plots the lagged 12‐month moving average of the annualized standard deviation for market, sector and sub‐sector returns; and relates it to economic events and the US pattern. Analyses further and finds that most of the time series variation in total variance is due to changes in market and sub‐sector variance. Compares the volatility of individual sectors and discusses the implications for portfolio risk and diversification. Considers consistency with other research, the underlying reasons for the findings and opportunities for further research.
Original languageEnglish
Pages (from-to)26-43
Number of pages17
JournalManagerial Finance
Volume28
Issue number8
DOIs
Publication statusPublished - 2002

Fingerprint

Stock market
Portfolio diversification
Efficient portfolio
Economics
Methodology
Standard deviation
International economics
Country effects
Moving average
Equity
Portfolio risk

Keywords

  • accounting research
  • investment management
  • risk
  • United Kingdom

Cite this

@article{c48a95fa6b1b40f987f32e5fae17b08a,
title = "Efficient Portfolio Diversification: Changing UK Stock Market Sector and Sub-Sector Volatilities, 1968-2000",
abstract = "Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility in the UK 1967‐2000, explains the methodology, plots the lagged 12‐month moving average of the annualized standard deviation for market, sector and sub‐sector returns; and relates it to economic events and the US pattern. Analyses further and finds that most of the time series variation in total variance is due to changes in market and sub‐sector variance. Compares the volatility of individual sectors and discusses the implications for portfolio risk and diversification. Considers consistency with other research, the underlying reasons for the findings and opportunities for further research.",
keywords = "accounting research, investment management, risk, United Kingdom",
author = "Black, {Angela J} and Roger Buckland and Patricia Fraser",
year = "2002",
doi = "10.1108/03074350210767997",
language = "English",
volume = "28",
pages = "26--43",
journal = "Managerial Finance",
issn = "0307-4358",
publisher = "Emerald Group Publishing Ltd.",
number = "8",

}

TY - JOUR

T1 - Efficient Portfolio Diversification

T2 - Changing UK Stock Market Sector and Sub-Sector Volatilities, 1968-2000

AU - Black, Angela J

AU - Buckland, Roger

AU - Fraser, Patricia

PY - 2002

Y1 - 2002

N2 - Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility in the UK 1967‐2000, explains the methodology, plots the lagged 12‐month moving average of the annualized standard deviation for market, sector and sub‐sector returns; and relates it to economic events and the US pattern. Analyses further and finds that most of the time series variation in total variance is due to changes in market and sub‐sector variance. Compares the volatility of individual sectors and discusses the implications for portfolio risk and diversification. Considers consistency with other research, the underlying reasons for the findings and opportunities for further research.

AB - Points out that the decline in international economic differentials makes country effects less important and sector effects more important in managing equity funds; but that there is little research on sector and sub‐sector specific risks. Presents a study of sector and sub‐sector volatility in the UK 1967‐2000, explains the methodology, plots the lagged 12‐month moving average of the annualized standard deviation for market, sector and sub‐sector returns; and relates it to economic events and the US pattern. Analyses further and finds that most of the time series variation in total variance is due to changes in market and sub‐sector variance. Compares the volatility of individual sectors and discusses the implications for portfolio risk and diversification. Considers consistency with other research, the underlying reasons for the findings and opportunities for further research.

KW - accounting research

KW - investment management

KW - risk

KW - United Kingdom

U2 - 10.1108/03074350210767997

DO - 10.1108/03074350210767997

M3 - Article

VL - 28

SP - 26

EP - 43

JO - Managerial Finance

JF - Managerial Finance

SN - 0307-4358

IS - 8

ER -