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Volatility spillovers between stock market and hedge funds : evidence from Asia Pacific region

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-39

This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997-2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global financial crisis and 2010 Eurozone crisis; these...

Persistent link: https://www.econbiz.de/10013399819

How many stocks are sufficient for equity portfolio diversification? : a review of the literature

Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30

diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

Persistent link: https://www.econbiz.de/10012795951

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility …. Domestic market shocks were significant drivers of gains from portfolio diversification most of the time, although the US …

Persistent link: https://www.econbiz.de/10012172980

Spillovers and asset allocation

Hoang Lai Trung; Baur, Dirk G. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-31

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...

Persistent link: https://www.econbiz.de/10012626370

Dynamic transmissions and volatility spillovers between global price and U.S. producer price in agricultural markets

Guo, Jin; Tanaka, Tetsuji - In: Journal of risk and financial management : JRFM 13 (2020) 4/83, pp. 1-20

A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely ignored. This paper analyzes the connections...

Persistent link: https://www.econbiz.de/10012302731

Volatility spillovers among cryptocurrencies

Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12

The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...

Persistent link: https://www.econbiz.de/10012792439

Spillovers of stock markets among the BRICS : new evidence in time and frequency domains before the outbreak of COVID-19 pandemic

Shi, Kai - In: Journal of risk and financial management : JRFM 14 (2021) 3/112, pp. 1-37

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously varying spillover index based on forecasting...

Persistent link: https://www.econbiz.de/10012485149

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

Modelling the impact of different COVID-19 pandemic waves on real estate stock returns and their volatility using a GJR-GARCHX approach : an international perspective

Tomal, Mateusz - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-9

This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that the pandemic outbreak had...

Persistent link: https://www.econbiz.de/10012626774

Determining force behind value premium : the case of financial leverage and operating leverage

Ul Haq, Hafiz Muhammad Zia; Muhammad Sohail Shafiq; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/196, pp. 1-15

The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity...

Persistent link: https://www.econbiz.de/10012384696