The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model
Daniel Robert Caponi
In recent years the stock market has experienced wide swings in market value much more frequently. Taking the Dow Jones Index as an example, it is not uncommon to see daily swings of 200 points or more in the DOW Index. In this study I examine the impact of volatility on stock returns. Using the Bloomberg Propagation Model I determine which stocks by market sector are less sensitive to market volatility. I take the top 5 stocks in each sector and develop a “Volatility Dampening Portfolio” (V). Using two weighting strategies, market value and expected return, I develop a 50 stock portfolio and determine its performance over the period 2010-2016. I test the hypothesis that V outperforms the market in highly volatile market periods.
Independent Research - Undergraduate
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"The Impact of Volatility on S&P 500 Stock Market Returns: A Closer Look at the Bloomberg Propagation Model" (2017). Stander Symposium Posters. 968.