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Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities
Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia, Mexico, and Brazil. For empirical purpose, the study...
Persistent link: https://www.econbiz.de/10014500295
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Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries
Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38
diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the … US market does not provide a superior hedging ratio for Asia-Pacific nations. For other stock markets, India, Hong Kong …, and New Zealand have the best hedge ratios, portfolio weights, and hedging efficacy. Finally, this research raised the …
Persistent link: https://www.econbiz.de/10014500629
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Taking into account the rate of convergence in CLT under Risk evaluation on financial markets
Kazaryan, Levon; Kantorovich, Gregory - In: Cogent economics & finance 5 (2017) 1, pp. 1-11
This paper examines “fat tails puzzle” in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the “fat tail” uncertainty. In this paper, we provide a review of the empirical results obtained “fat tails puzzle” using innovative method of...
Persistent link: https://www.econbiz.de/10011877599
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Active portfolio management for the emerging and frontier markets : the use of multivariate time series forecasts
Tri Hoang - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...
Persistent link: https://www.econbiz.de/10013391097
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Are options trading strategies really effective for hedging in the Indian derivatives market?
Shivaprasad S P; Geetha E; Acharya, Raghavendra; Vidya Bai G - In: Cogent economics & finance 10 (2022) 1, pp. 1-25
Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …
Persistent link: https://www.econbiz.de/10013389458
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent economics & finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012023352
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Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...
Persistent link: https://www.econbiz.de/10011597965
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Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches
Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25
commodities markets. Our findings support the hedging abilities of commodities across the time-frequency space. Findings from the …
Persistent link: https://www.econbiz.de/10013389437
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The impact of BRICS formation on portfolio diversification : empirical evidence from pre- and post-formation eras
Al-Mohamad, Somar; Rashid, Audil; Bakry, Walid; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...
Persistent link: https://www.econbiz.de/10012215192
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Forecasting spot prices in bulk shipping using multivariate and univariate models
Geomelos, N. D.; Xideas, E. - In: Cogent economics & finance 2 (2014) 1, pp. 2-37
This paper employs an applied econometric study concerning forecasting spot prices in bulk shipping in both markets of tankers and bulk carriers in a disaggregated level. This research is essential, as spot market is one of the most volatile markets and there is a great uncertainty about the...
Persistent link: https://www.econbiz.de/10010486463