Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis

被引：28

作者：

Mensi, Walid ^{[1
,2
]}

Hammoudeh, Shawkat ^{[3
,4
]}

Kang, Sang Hoon ^{[5
]}

机构：

[1] Univ Tunis El Manar, Dept Finance & Accounting, BP 248,CP 2092, Tunis, Tunisia

[2] IMSIU, Dept Finance & Investment, Coll Econ & Adm Sci, POB 5701, Riyadh, Saudi Arabia

[3] Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA

[4] Montpellier Business Sch, Energy & Sustainable Dev, Montpellier, France

[5] Pusan Natl Univ, PNU Sch Business, Dept Business Adm, Busan 609735, South Korea

来源：

FINANCE RESEARCH LETTERS | 2017年 / 21卷

关键词：

Stock markets; Correlations; Hedge; Downside risk; DCC-FIAPARCH; GLOBAL FINANCIAL CRISIS; CONDITIONAL HETEROSKEDASTICITY; COMOVEMENTS; CONTAGION; TRANSMISSION; EUROPE; MODELS; US;

D O I：

10.1016/j.frl.2016.11.016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the dynamic correlations and portfolio diversification between the major developed and BRICS stock markets. The results reveal a significant variability in the time-varying conditional correlations between these markets during upturn and downturn periods. We underline the importance of overweighting the optimal portfolios with stocks from the developed countries over those from the BRICS. Finally, we demonstrate the usefulness of using developed market stocks in the BRICS stock portfolio risk management. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：26 / 33

页数：8

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