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The effect of uncertainty on stock market volatility and correlation

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of banking & finance 154 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014486544

Emerging equity markets in a globalized world

Bekaert, Geert; Harvey, Campbell R.; Mondino, Tomas - In: Emerging markets review 56 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014478638

Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

Overlapping portfolio holdings and unique sources of emerging market risk

Tomtosov, Aleksandr - In: Borsa Istanbul Review 24 (2024) 1, pp. 201-217

in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust …

Persistent link: https://www.econbiz.de/10014494785

Correlation-based investment strategies : a comparison between Chinese and US stock markets

Zhang, Zhehao; Xing, Ruina; Liu, Jiajun; Shao, Yifei - In: Pacific-Basin finance journal 82 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014463514

Minimum variance portfolio in ASEAN-6 stock markets diversification : a Vietnamese perspective

Tri Hoang - In: Cogent business & management 9 (2022) 1, pp. 1-23

pandemic (period 2). Correlations are evaluated pre and post crises using both an 86-month correlation window for the whole … period and a 12-month rolling correlation window. To assess the benefits of diversification, several portfolios are built …

Persistent link: https://www.econbiz.de/10014429106