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Portfolio Implications of a Positive Stock-Bond Correlation World

Weisberger, Noah; Xu, Xiang - 2022

produce a sustained period of positive stock-bond correlation. In a world of positive stock-bond correlation, the performance …

Persistent link: https://www.econbiz.de/10014235893

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

Lemand, Ryan - 2022

The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...

Persistent link: https://www.econbiz.de/10014236561

A Momentum Investment Strategy Based on Correlations : A Comparison between China and Us Stock Markets

Zhang, Zhehao - 2022

This paper studies the portfolio constructed by a correlation-based momentum strategy in both Chinese and American … stock markets. By applying eight different correlations to return and other indicators, it is found that Pearson correlation … weights including market capitalisation and correlation coefficient between return and volatility, including whether to …

Persistent link: https://www.econbiz.de/10013294919

Non-fundamental home bias in international equity markets

Kim, Gyu Hyun; Kim, Hoffmann - In: International economics : a journal published by CEPII … 170 (2022), pp. 213-234

Persistent link: https://www.econbiz.de/10013368881

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839