Journal article
Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Journal of asset management, Vol.16(7), pp.467-483
01 Dec 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study estimates the time lag cross-correlation matrix, the Sharpe ratio and the Value-at-Risk (VaR) for three 36 -stock energy, IT-computer and medicine-biotechnology sector portfolios derived from the US stock market during a post-global financial crisis period. We specifically look at the cause-effect dependence relationship, market risk and investment features of the sector portfolios. Our results uncover unidirectional time lag dependence between the IT-computer and medicine-biotechnology sector portfolios, stating that the price and return values of the former are dependent on the past price and return values of the latter. The IT-computer sector portfolio appears to be the best investment choice in terms of diversification, risk and return. Finally, the energy sector portfolio is found to have the highest VaR values and the lowest return relative to risk. The empirical results regarding the unveiled risk and dependence characteristics of the sectors are promising in terms of theory and practical financial applications.
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Details
- Title
- Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
- Creators
- Jose Arreola Hernandez - Av. Montaña Monarca No. 1333 Torre B Depto. 903, Michoacan, MexicoMazin A. M. Al Janabi - UAE Univ, Coll Business & Econ, Financial Engn & Finance & Banking, Al Ain, U Arab EmiratesShawkat Hammoudeh - Drexel UniversityDuc Khuong Nguyen - Av. Montaña Monarca No. 1333 Torre B Depto. 903
- Publication Details
- Journal of asset management, Vol.16(7), pp.467-483
- Publisher
- Springer Nature
- Number of pages
- 17
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Identifiers
- 991019168015604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance