Journal article
Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis
Finance research letters, v 21
May 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
•We examine the time-varying linkages between BRICS and developed stock markets.•We analyze time-varying hedge ratios based on the bivariate DCC-FIAPARCH model.•We assess diversification benefits and downside risk in developed-BRICS stock portfolios.
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.
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Details
- Title
- Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis
- Creators
- Walid Mensi - Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092 Tunis Cedex, TunisiaShawkat Hammoudeh - Drexel UniversitySang Hoon Kang - Pusan National University
- Publication Details
- Finance research letters, v 21
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000400220500004
- Scopus ID
- 2-s2.0-85007338442
- Other Identifier
- 991019167981104721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance