Journal article
Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
Emerging markets review, v 32, pp 130-147
01 Sep 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each of the major developed stock markets (U.S., UK and Japan), using the wavelet squared coherence approach as well as the wavelet-based Value at Risk (VaR) method. The results show that the co-movements and diversification benefits between these markets vary over time and across frequencies. Additionally, the co-movements are intensified in the wake of the recent global financial crisis (GFC) and the Eurozone sovereign debt crisis (ESDC). More precisely, the wavelet-based VaR ratio indicates that including a BRIC or a South Asian (particularly Pakistan and Sri Lanka at both the short- and long-term) stock market in a portfolio of the developed stock markets reduces the resulting portfolio's VaR. Specifically, adding China in the medium term to this portfolio reduces risk in the pre- and during both the GFC and ESDC periods. By assigning optimal weights to the different market assets in the portfolio formulation, the analysis thus has implications for international investors. (C) 2017 Elsevier B.V. All rights reserved.
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Details
- Title
- Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
- Creators
- Walid Mensi - Sultan Qaboos UniversitySyed Jawad Hussain Shahzad - COMSATS University IslamabadShawkat Hammoudeh - Drexel UniversityRami Zeitun - Qatar UniversityMobeen Ur Rehman - Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology
- Publication Details
- Emerging markets review, v 32, pp 130-147
- Publisher
- Elsevier
- Number of pages
- 18
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000412966600008
- Scopus ID
- 2-s2.0-85021091257
- Other Identifier
- 991019167890104721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics