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Artykuły w czasopismach na temat „Correlation; Volatility; Portfolio Diversification”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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1

Gualter, Couto, Pimentel Pedro, and Faria Ricardo. "CORRELATION OF THE PORTUGUESE STOCK MARKET WITH MAJOR GLOBAL CAPITAL MARKETS." International Journal of Research - Granthaalayah 5, no. 7 (2017): 92–109. https://doi.org/10.5281/zenodo.834578.

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In this paper, we will analyse the increase of correlations in the market during periods of crisis, given its importance to the management and optimization of the portfolio, and especially for risk diversification in portfolio management. An evaluation of the level of correlation between the stock markets is important for several reasons. First, it enables to evaluate changes in the patterns of correlation, and thus to make the proper adjustments in portfolios’ investment. Second, policy makers are also interested in these correlations because of its implications for the stability of the finan

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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.

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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversificatio

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Narayan, Seema. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks." Journal of Risk and Financial Management 12, no. 4 (2019): 160. http://dx.doi.org/10.3390/jrfm12040160.

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This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The 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 from 24 developed, emerging, and frontier stock markets. The US stock market is the source of foreign shocks. The

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Suryawati, Baiq Nurul, Laila Wardani, Muttaqillah Muttaqillah, and Iwan Kusmayadi. "OPTIMIZING PORTFOLIO RETURN WITH NAÏVE DIVERSIFICATION-BASED MODELLING." JMM UNRAM - MASTER OF MANAGEMENT JOURNAL 10, no. 1 (2021): 15. http://dx.doi.org/10.29303/jmm.v10i1.646.

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This study aims at applying naïve diversification-based modeling in formation of optimal portfolios and to test the superiority of these portfolios against its sectoral indexes. The population of this study are all companies listed on the Indonesia Stock Exchange which are grouped into 10 sectors, namely: Agriculture; Basic Industry; Consumer; Finance; Infrastructure; Manufacture; Mining; Miscelanous Industry; Property; and Trade. The sample of this company is Top 10 Constituents in each company sector listed in the fact sheet per sector, published by the Indonesia Stock Exchange. The analytic

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Korzhnev, S. V. "Volatility-based adjustments to portfolio risk assessment tools." Vestnik Universiteta 1, no. 12 (2023): 154–61. http://dx.doi.org/10.26425/1816-4277-2022-12-154-161.

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The article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ significantly for different volatility levels, that is, the coefficients in times of high volatility are significantly higher than those in times of low volatility. Correlations during periods of heightened volatility are key for assessing risks, since it is such volatility that characterizes negative ma

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6

Sandeep, Yadav. "Risk-Return Diversification Advantages of a Mixed Cryptocurrency Market Portfolio." International Journal of Innovative Research in Engineering & Multidisciplinary Physical Sciences 6, no. 3 (2018): 1–5. https://doi.org/10.5281/zenodo.14059447.

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Cryptocurrencies, despite their strong returns and low correlation with traditional assets, remain underutilized in investment portfolios due to two major concerns: high return volatility and uncertainty regarding the long-term viability of individual cryptocurrencies. In this paper, we propose a comprehensive analysis of the diversification effects offered by a mixed cryptocurrency portfolio, with particular focus on Bitcoin. By constructing and analyzing multiple portfolio configurations, we assess the differences in risk-return profiles when various cryptocurrencies are combined. Our findin

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Saadah, Siti. "Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In Indonesia’s Financial Market." Jurnal Manajemen 22, no. 2 (2018): 263. http://dx.doi.org/10.24912/jm.v22i2.363.

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Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillove

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SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.

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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across dif

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9

Zhao, Xueyao. "Correlation and Impact of Bitcoin with Other Cryptocurrency Portfolios." Advances in Economics, Management and Political Sciences 11, no. 1 (2023): 123–28. http://dx.doi.org/10.54254/2754-1169/11/20230524.

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Bitcoin is a peer-to-peer form of digital currency proposed in 2008. Unlike other currencies, Bitcoin does not rely on a specific institution to issue it, it is based on a specific algorithm that generates it through a large number of calculations. In some countries, government agencies, central banks and academia regard Bitcoin is a virtual currency rather than a currency. This is because of Bitcoins high volatility, which does not have the two basic functions of the unit of account and the store of value that are unique to the currency. In recent years, Bitcoin has seen increasing media cove

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10

Shlonchak, Vasyl. "Diversification of the banks investment portfolio: an adaptive management model in the conditions of financial volatility." Galician economic journal 94, no. 3 (2025): 91–101. https://doi.org/10.33108/galicianvisnyk_tntu2025.03.091.

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In the context of increased financial volatility and macroeconomic instability, enhancing the efficiency of banks’ investment activity has become a strategic imperative. One of the most relevant approaches is the structural optimization of investment portfolios through asset diversification. However, existing models often fail to fully consider the correlation between portfolio components, their volatility, and market sensitivity, which significantly limits the accuracy of investment decision-making. This research aims to develop a scientifically grounded approach to improving the efficiency o

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11

Kuzheliev, Mykhailo, Dmytro Zherlitsyn, Ihor Rekunenko, Alina Nechyporenko, and Sergii Stabias. "Expanding portfolio diversification through cluster analysis beyond traditional volatility." Investment Management and Financial Innovations 22, no. 1 (2025): 147–59. https://doi.org/10.21511/imfi.22(1).2025.12.

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The study reviews the application of machine learning tools in financial investment portfolio management, focusing on cluster analysis for asset allocation, diversification, and risk optimization. The paper aims to explore the use of clustering analysis to broaden the concept of portfolio diversification beyond traditional volatility metrics. An open dataset from Yahoo Finance includes a ten-year historical period (2014–2024) of 130 actively traded securities from international stock markets used. Dataset selection prioritizes top liquidity and trading activity. Python analytical tools were em

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Gökgöz, Halilibrahim, Arif Arifoğlu, and Tuğrul Kandemir. "Stochastic and Dynamic Interaction between Islamic Volatility Index and Volatility Indices." Turkish Journal of Islamic Economics 11, no. 2 (2024): 59–83. http://dx.doi.org/10.26414/a4106.

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Integration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened market correlations. This study aims to analyze the diversifying potential of Islamic financial assets and undertake a dynamic analysis of their correlation with volatility indices. In this context, the study explores the interaction between the Dow Jones Islamic Market Developed Markets Quality and Low Volatility Index (DJIDVI) and such volatility ind

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13

Yoon, Byung Jo. "A Study on Hedging Opportunities of Emerging Market ETFs using Minimum Variance Hedge Ratios and Optimal Portfolio Weights." Academic Society of Global Business Administration 21, no. 5 (2024): 83–99. http://dx.doi.org/10.38115/asgba.2024.21.5.83.

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This study investigated the minimum variance hedge ratio and the weight of the optimal portfolio using the conditional correlation estimated by the DCC-Copula GARCH model for emerging market ETFs traded in the US stock market. The results of empirical analysis during the sample period are as follows. First, When hedging with implied volatility ETF(VXEEM), the most expensive alternative and the emerging market ETF with high hedging efficiency is EWX.. Second, the portfolio weighting strategy is more efficient than the dynamic hedging strategy, and in most portfolios, if the weight of VXEEM is m

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14

Patel, Ritesh, Muhammad Zubair Chishti, and Sun-Yong Choi. "Connectedness Between Music Tokens and Major Asset Classes: Implications for Hedging and Investments Strategies." American Business Review 28, no. 1 (2025): 223–71. https://doi.org/10.37625/abr.28.1.223-271.

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This study examines the dynamic connectedness between four music tokens, that is, Audius, CEEK, ROCKI and Viberate and major asset classes, namely, equity, bond, crude oil, Gold, Bitcoin and USD. We used daily data from December 23, 2020, to August 30, 2024. We measure the connectedness using the quantile VAR method and the wavelet quantile correlation approach. The quantile VAR method reveals that assets play receiver and transmitter roles. However, the assets hold a weak relationship, indicating the opportunity for portfolio diversification. Further, the results of wavelet quantile correlati

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15

Kurach, Radosław. "Stocks, Commodities and Business Cycle Fluctuations – Seeking the Diversification Benefits." Equilibrium 7, no. 4 (2012): 101–16. http://dx.doi.org/10.12775/equil.2012.029.

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In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtained results indicate that Precious Metal and Livestock are valuable equity portfolio diversifiers, while Industrial Metals volatility has much in common with the fluctuations of broad stock market.

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Zagaglia, Paolo. "International diversification for portfolios of European fixed-income mutual funds." Managerial Finance 43, no. 2 (2017): 242–62. http://dx.doi.org/10.1108/mf-01-2015-0026.

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Purpose The purpose of this paper is to study the scope for country diversification in international portfolios of mutual funds for the “core” EMU countries. The author uses a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. The author focuses on fixed-income mutual funds during the period of the financial market turmoil since 2007. Design/methodology/approach The author compute optimal portfolio allocations from both unconstrained and constrained mean-variance frameworks that take as input the out-of-sa

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17

Okechukwu, Goodwell. "Cryptocurrency and Its Role in Portfolio Diversification." International Journal of Finance 9, no. 4 (2024): 35–47. http://dx.doi.org/10.47941/ijf.2115.

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Purpose: This study sought to explore cryptocurrency and its role in portfolio diversification. Methodology: The study adopted a desktop research methodology. Desk research refers to secondary data or that which can be collected without fieldwork. Desk research is basically involved in collecting data from existing resources hence it is often considered a low cost technique as compared to field research, as the main cost is involved in executive’s time, telephone charges and directories. Thus, the study relied on already published studies, reports and statistics. This secondary data was easily

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18

Shah, Dr Manita D., Diyaa D, and Mohammed Adnan. "Dynamic Linkages Between U.S and Indian Equity Markets: An Empirical Study." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 11 (2024): 1–6. http://dx.doi.org/10.55041/ijsrem38500.

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In this study, we investigate the dynamic linkages between US and Indian equity markets by examining the daily Total Return Index values of NIFTY 50 and NASDAQ Composite over a decade ending October 2024. While the indices are not found to be cointegrated, suggesting potential long-term diversification benefits, they exhibit significant short-term correlations. Through various statistical analyses including regression, correlation, and variance tests, we find strong positive associations between the markets, with NASDAQ Composite movements explaining approximately 89% of variations in NIFTY 50

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Gomes Borges, Wemerson, Luciano Ferreira Carvalho, Nilton Cesar Lima, and Donizete Reina. "VOLATILITY AND CONDITIONAL MARKET CORRELATIONS IN PERIODS OF CRISIS." Revista Eletrônica de Estratégia & Negócios 16 (February 28, 2024): e18340. http://dx.doi.org/10.59306/reen.v16e2023e18340.

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The study analyzed co-movements and contagions in Latin American stock markets, testing the benefits of diversification in times of crisis. The period investigated was from January 2000 to December 2018, testing the correlations through Asymmetric Dynamic Conditional Correlation models. The results indicate that correlations increase in periods of crisis in all markets and sectors, thus reducing the benefits of portfolio diversification. It was also possible to observe that the increase in correlations during an internal crisis is of smaller magnitude than the increase in correlations during e

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Neffelli, Marco. "Target Matrix Estimators in Risk-Based Portfolios." Risks 6, no. 4 (2018): 125. http://dx.doi.org/10.3390/risks6040125.

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Portfolio weights solely based on risk avoid estimation errors from the sample mean, but they are still affected from the misspecification in the sample covariance matrix. To solve this problem, we shrink the covariance matrix towards the Identity, the Variance Identity, the Single-index model, the Common Covariance, the Constant Correlation, and the Exponential Weighted Moving Average target matrices. Using an extensive Monte Carlo simulation, we offer a comparative study of these target estimators, testing their ability in reproducing the true portfolio weights. We control for the dataset di

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Danila, Nevi. "Spillover of volatility among financial instruments: ASEAN-5 and GCC market study." PLOS ONE 18, no. 10 (2023): e0292958. http://dx.doi.org/10.1371/journal.pone.0292958.

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The research examines a comovement and spillover of volatility among foreign exchange, conventional and shariah stock markets in Association of South East Asian Nation-5 (ASEAN) countries and Gulf Cooperation Council (GCC) countries. Generalized Autoregressive Conditional Heteroskedasticity—Baba, Engle, Kraft and Kroner (GARCH-BEKK) and Dynamic Conditional Correlation (GARCH-DCC) models are used to capture the correlation and transmission volatility of the markets. The overall results show that both the Shariah and the conventional stock indices respond similarly to each country’s currency. A

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Foglia, Matteo, and Eliana Angelini. "Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era." Sustainability 12, no. 23 (2020): 9863. http://dx.doi.org/10.3390/su12239863.

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The work investigates the volatility connectedness between oil price and clean energy firms over the period 2011–2020 (including the COVID-19 outbreak). Using the volatility spillover models, and dynamic conditional correlation, we are able to identify the volatility spillover effect between these financial markets and its implications for portfolio diversification. The results indicate a significant change in both static and dynamic volatility connectedness around the COVID-19 outbreak. For instance, total connectedness index changes from 21.36% (pre-COVID-19) to 61.23% (COVID-19). This findi

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Alihodžić, Almir. "The volatility of bitcoin and the riskiness of the financial portfolio." Bankarstvo 52, no. 2-3 (2023): 128–65. http://dx.doi.org/10.5937/bankarstvo2303128a.

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The main goal of this research is to evaluate the returns and risks of the following types of assets: Bitcoin, EUR Stoxx 50, gold, bonds: government bonds ICE Bof A 1-10 Year excluding Italy and Greece and the corporate bond index ICEB of A 1-10 Year AA. The paper tested a total of ten portfolios according to different scenarios for digital and financial assets. Also, in the paper, greater measures of risk and return were calculated with the aim of forming an optimal portfolio with minimal risk. The results of this research revealed that the correlation between Bitcoin and other forms of finan

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Aliu, Florin, Besnik Krasniqi, Adriana Knapkova, and Fisnik Aliu. "Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications." Acta Oeconomica 69, no. 2 (2019): 273–87. http://dx.doi.org/10.1556/032.2019.69.2.6.

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Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide infor

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Özdurak, Caner, and Derya Hekim. "Beyond the Silicon Valley of the East: Exploring Portfolio Diversification with India and MINT Economies." Journal of Risk and Financial Management 17, no. 7 (2024): 269. http://dx.doi.org/10.3390/jrfm17070269.

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In the past few decades, India’s tech industry has boomed, making it a leader in the digital world. Today, India has many big tech companies, well-trained software developers, and cutting-edge technology like AI and cloud computing. This success shows India’s innovative spirit and makes the country a good example for other developing nations. However, global portfolio managers often overlook potential diversification opportunities beyond India’s dynamic stock market. This study investigates the viability of MINT (Mexico, Indonesia, Nigeria, and Turkey) as diversification targets, specifically

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Sahabuddin, Mohammad, Md Aminul Islam, Mosab I. Tabash, Md Kausar Alam, Linda Nalini Daniel, and Imad Ibraheem Mostafa. "Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries." Journal of Risk and Financial Management 16, no. 2 (2023): 111. http://dx.doi.org/10.3390/jrfm16020111.

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This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets in developed and emerging countries. The results show that conventional and Islamic markets move together

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Acikgoz, Turker, Soner Gokten, and Abdullah Bugra Soylu. "Multifractal Detrended Cross-Correlations Between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective." Fractal and Fractional 8, no. 2 (2024): 117. http://dx.doi.org/10.3390/fractalfract8020117.

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Green bonds represent a compelling financial innovation that presents a financial perspective solution to address climate change and promote sustainable development. On the other hand, the recent process of financialisation of commodities disrupts the dynamics of the commodity market, increasing its correlation with financial markets and raising the risks associated with commodities. In this context, understanding the dynamics of the interconnectivity between green bonds and commodity markets is crucial for risk management and portfolio diversification. This study aims to reveal the multifract

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Moodley, Fabian, Sune Ferreira-Schenk, and Kago Matlhaku. "Time–Frequency Co-Movement of South African Asset Markets: Evidence from an MGARCH-ADCC Wavelet Analysis." Journal of Risk and Financial Management 17, no. 10 (2024): 471. http://dx.doi.org/10.3390/jrfm17100471.

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The growing prominence of generating a well-diversified portfolio by holding securities from multi-asset markets has, over the years, drawn criticism. Various financial market events have caused asset markets to co-move, especially in emerging markets, which reduces portfolio diversification and enhances return losses. Consequently, this study examines the time–frequency co-movement of multi-asset classes in South Africa by using the Multivariate Generalized Autoregressive Conditional Heteroscedastic–Asymmetrical Dynamic Conditional Correlation (MGARCH-DCC) model, Maximal Overlap Discrete Wave

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Ngene, Geoffrey, Jennifer Brodmann, and M. Kabir Hassan. "DYNAMIC VOLATILITY AND SHOCK INTERACTIONS BETWEEN OIL AND THE U.S. ECONOMIC SECTORS." Journal of Business Accounting and Finance Perspectives 1, no. 1 (2019): 1. http://dx.doi.org/10.26870/jbafp.2018.01.002.

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his study examines (i) the dynamic shocks and volatility interactions between each of the eleven U.S. economic sectors and the oil market; (ii) riskminimizing optimal capital allocations between each sector and oil; and (iii) the hedging effectiveness resulting from the inclusion of oil in each sector portfolio. Using weekly data spanning the period June 1994 through February 2016, we document the following regularities: (i) the conditional correlation between each sector and the oil market is time-varying and slowly decaying; (ii) there is either volatility or shock transmission from oil to e

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Rehman, Mobeen Ur, and Xuan Vinh Vo. "Integration and volatility spillover amongst banks: a cross-correlation analysis." Journal of Economic and Administrative Sciences 39, no. 1 (2021): 203–24. http://dx.doi.org/10.1108/jeas-07-2020-0136.

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PurposeThe rising interconnectedness between international banks, at one end, allow participants to share risk and diversification which leads to stable local lending and increase in competitiveness, however, at the other end poses potential for volatility spillover and thereby contagion phenomena. Therefore, investigating the presence of co-integration amongst international banks can provide useful information about risk spillover in times of financial turbulenceDesign/methodology/approachThe authors employ wavelet correlation and wavelet multiple cross-correlation strategies, following an in

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AMMANN, MANUEL, and MICHAEL VERHOFEN. "THE CONGLOMERATE DISCOUNT: A NEW EXPLANATION BASED ON CREDIT RISK." International Journal of Theoretical and Applied Finance 09, no. 08 (2006): 1201–14. http://dx.doi.org/10.1142/s0219024906004025.

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We present a simple new explanation for the diversification discount in the valuation of firms. We demonstrate that, ceteris paribus, limited liability of equity holders is sufficient to explain a diversification discount. To derive this result, we use a credit risk model based on the value of the firm's assets. We show that a conglomerate can be regarded as an option on a portfolio of assets. By splitting up the conglomerate, the investor receives a portfolio of options on assets. The conglomerate discount arises because the value of a portfolio of options is always equal to or higher than th

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Jiang, Jiarui, Mengsui Sun, Mengyao Lin, and Mingfei Ouyang. "Innovation and Research of Sector-based VIX Derived from VIX." Advances in Economics, Management and Political Sciences 81, no. 1 (2024): 92–104. http://dx.doi.org/10.54254/2754-1169/81/20241413.

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VIX, also known as the Chicago Board Options Exchange Volatility Index, is designed to measure the markets expectation of 30-day volatility. People could use VIX for risk management, hedging, or portfolio diversification because it is seen as a signal of risk, uncertainty, and peoples fear in financial markets. However, considering previous studies have not focused on the sectorbased VIX, this paper aims to monitor the market risks better and assess market expectations, in terms of portfolio management or risk hedging, by creating sectorbased VIX. First, we figure out 11 sectors in the current

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Metadjer, Widad, Seyf Eddine Benbakhti, and Hadjer Boulila. "Diagnostic of Innovations and Volatility Persistence in Emerging Markets." International Journal of Islamic Business and Economics (IJIBEC) 4, no. 2 (2020): 95. http://dx.doi.org/10.28918/ijibec.v4i2.2355.

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This paper aims to analyse the shocks and volatility persistence of both Islamic and conventional financial market, and the nature of the correlation between the two markets. The study uses Bivariate BEKK-GARCH(1,1) model in the examination of the shocks and volatility based on the daily prices of Dubai Islamic Capital Market (Sukuk index) and conventional Stock Market (DFM index).As a result, it documents that both Sukuk and stock market indices are affected by their own news and shows volatility persistence over the study period. The study also finds a negative correlation between the Sukuk

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Yadav, Miklesh Prasad, and Asheesh Pandey. "Volatility Spillover Between Indian and MINT Stock Exchanges: Portfolio Diversification Implication." Indian Economic Journal 67, no. 3-4 (2019): 299–311. http://dx.doi.org/10.1177/0019466220947501.

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We examine the spillover effect from the Indian stock market to Mexico, Indonesia, Nigeria and Turkey (MINT) stock markets in order to check if suitable diversification opportunities are available to global portfolio managers investing in India. We apply Granger causality test, vector auto-regression (VAR) and dynamic conditional correlation (DCC)–MGARCH to investigate the level of integration between India and MINT economies. We observe bidirectional causality between India and Nigeria, unidirectional causality in Mexico and Indonesia, while no causality is found between India and Turkey. Our

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Belkhir, Nadia, Wafa Kammoun Masmoudi, Sahar Loukil, and Rihab Belguith. "Portfolio Diversification and Dynamic Interactions between Clean and Dirty Energy Assets." International Journal of Energy Economics and Policy 15, no. 1 (2024): 519–31. https://doi.org/10.32479/ijeep.17664.

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Clean energy, with its focus on environmental sustainability and efficiency, has gained significance as concerns over the impact of traditional energy growth. However, there is limited evidence on the value of clean energy investments. This paper explores the role of clean energy in a balanced investment portfolio by examining two traditional energy assets (crude oil and natural gas) and two clean energy assets (SPDR S&P Kensho Clean Power ETF and iShares Global Clean Energy ETF). Using a time-varying parameter vector autoregression (TVP-VAR) model on daily data from October 2021 to Januar

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Meric, Ilhan, Joe Kim, Lewis Coopersmith, and Gulser Meric. "Co-Movements of Pacific-Basin Stock Markets: Portfolio Diversification Implications." Journal of International Business and Economy 8, no. 2 (2007): 11–34. http://dx.doi.org/10.51240/jibe.2007.2.2.

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This paper studies the co-movements of and the linkages between twelve Pacific-Basin stock markets during the June 1995-May 2005 period. We use the principal components analysis (PCA) technique to group the stock markets into statistically significant principal components in terms of the similarities of their index return movements. The rolling correlation analysis results show that correlation between the Pacific-Basin stock markets has considerable time-varying volatility. The Granger causality test results indicate that the weekly index returns of most Pacific-Basin stock markets are weak-f

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Abdullah, Ahmad Monir, Maizatulakma Abdullah, Mohamat Sabri Hassan, and Hamdy Abdullah. "Evaluating diversification approaches: A comparative analysis of traditional, Islamic indices in the United Kingdom, and alternative investment options." Asian Economic and Financial Review 15, no. 1 (2024): 1–26. https://doi.org/10.55493/5002.v15i1.5257.

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This study explores the diversification potential of the United Kingdom’s (UK) conventional and Islamic stock indices, Bitcoin, gold, crude oil, and the GBP/USD exchange rate from 2011 to 2022 using methodologies such as VECM, MODWT, MGARCH-DCC, and CWT. The findings indicate that UK indices, gold, and Bitcoin respond to changes in crude oil prices and GBP/USD rates, whereas GBP/USD and crude oil show low correlation, offering diversification benefits. Gold consistently maintains a low correlation with UK indices during global disruptions, such as the 2020 pandemic and the 2022 Ukraine-Russia

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Lovretin Golubić, Zrinka, Denis Dolinar, and Davor Zoričić. "A heuristic approach to the estimation of an efficient benchmark in the Croatian stock market." Ekonomski pregled 76, no. 1 (2025): 3–14. https://doi.org/10.32910/ep.76.1.1.

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In this paper a heuristic approach, which solely relies on risk parameter estimation, is pursued to estimate the efficient benchmark in the Croatian stock market. Optimisation method focused on risk parity is employed allowing investors to diversify risk by relying on equal risk contribu tion to achieve optimal portfolio diversification. Six different benchmarks related to risk parity method variations and covariance matrix estimations are examined in order to compare their performance with the capitalization-weighted counterpart. This allows insight regarding the po tential sources of differe

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Bharathi and Ramana Mayya Suresh. "Cryptocurrency as an Investment Avenue: Risk, Returns, and Regulatory Challenges." International Journal of Commerce and Management Research Studies (IJCMRS) 2, no. 1 (2025): 37–47. https://doi.org/10.5281/zenodo.15165691.

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This study examines cryptocurrency as an emerging investment asset class, analyzing its risk-return characteristics and regulatory environment. Using data from 2016 to 2024, we evaluate Bitcoin, Ethereum, and a diversified crypto portfolio against traditional asset classes. Our findings reveal that cryptocurrencies demonstrate significantly higher returns (mean annual return of 112.7% for Bitcoin) coupled with extreme volatility (annualized standard deviation of 78.4%). Correlation analysis shows that cryptocurrencies maintain low correlation with traditional assets (r = 0.21 with S&P 500)

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Chen, Kuo-Shing, and Wei-Chen Ong. "Dynamic correlations between Bitcoin, carbon emission, oil and gold markets: New implications for portfolio management." AIMS Mathematics 9, no. 1 (2024): 1403–33. http://dx.doi.org/10.3934/math.2024069.

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<abstract> <p>In this paper, we aim to uncover the dynamic spillover effects of Bitcoin environmental attention (EBEA) on major asset classes: Carbon emission, crude oil and gold futures, and analyze whether the integration of Bitcoin into portfolio allocation performance. In this study, we document the properties of futures assets and empirically investigate their dynamic correlation between Bitcoin, carbon emission, oil and gold futures. Overall, it is evident that the volatility of Bitcoin, as well as other prominent returns, exhibit an asymmetric response to good and bad news.

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Şeker, Kudbeddin, and Ahmet Gökçe Akpolat. "Dynamic Stochastic Volatility Spillover Between Bitcoin and Precious Metals." Uluslararası Ekonomi İşletme ve Politika Dergisi 9, no. 1 (2025): 53–72. https://doi.org/10.29216/ueip.1596577.

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Since its creation in 2008, Bitcoin has often been compared to precious metals due to their shared characteristics as safe havens, hedges, and risk diversification tools. This study uses the DCC-GARCH model to analyze dynamic conditional correlations and volatility spillovers between Bitcoin and the returns of gold, copper, silver, and platinum. The findings reveal persistent volatility and clustering in the returns of both Bitcoin and these metals. There is a one-way volatility spillover from gold to Bitcoin, and from Bitcoin to copper, silver, and platinum. Significant dynamic conditional co

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Pavković, Ana, Mihovil Anđelinović, and Ivan Pavković. "Achieving Portfolio Diversification through Cryptocurrencies in European Markets." Business Systems Research Journal 10, no. 2 (2019): 85–107. http://dx.doi.org/10.2478/bsrj-2019-020.

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AbstractBackground: Cryptocurrencies represent a specific technological innovation in financial markets that keeps getting more and more popular among investors around the world. Given the specific characteristics of the cryptocurrencies, this paper examines the possibility of their use as a diversification instrument.Objectives: This paper examines the direction and strength of the relationship between the selected cryptocurrencies and important financial indicators on the European Union market. Since cryptocurrencies are a novelty in the financial system, the empirical literature in this are

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Kanwal, Memoona, and Hashim Khan. "Does carbon asset add value to clean energy market? Evidence from EU." Green Finance 3, no. 4 (2021): 495–507. http://dx.doi.org/10.3934/gf.2021023.

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<abstract> <p>This paper examines if clean energy stocks help investors in managing carbon risk. We use the price of the European Union Allowance (EUA) and European clean energy index (ERIX) for the three phases of the EU-Emission Trading Scheme. Analyzing the time-varying correlation and volatility of EUA stock and ERIX through generalized orthogonal GO-GARCH model, the empirical results reveal relative independence of the European renewable energy market from the carbon market providing diversification benefits and value addition by including carbon assets in clean energy stock p

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Saiti, Buerhan, Yusuf Ma, Ruslan Nagayev, and İbrahim Güran Yumusak. "The diversification benefit of Islamic investment to Chinese conventional equity investors." International Journal of Islamic and Middle Eastern Finance and Management 13, no. 1 (2019): 1–23. http://dx.doi.org/10.1108/imefm-01-2018-0014.

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Purpose The purpose of this paper is to investigate the extent to which Chinese equity investors can benefit from diversifying their portfolio into Shariah-compliant (Islamic) indices. It examines three Islamic stock indices (FTSE Shariah China price index, MSCI China Islamic IMI price index and the DJ Islamic Greater China price index) and ten sectoral indices in Shanghai Stock Exchange as a sample. Design/methodology/approach The multivariate GARCH dynamic conditional correlations (MGARCH-DCC) is deployed to estimate the time-varying linkages of returns of the selected indices, covering appr

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А.С., Соколицын, Викторова Н.Г., Заборовская О.В. та Конников Е.А. "Нелинейное программирование в задачах оптимизации инвестиционного портфеля". Modern Economy Success, № 6 (11 листопада 2024): 146–53. https://doi.org/10.58224/2500-3747-2024-6-146-153.

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оптимизация портфеля представляет собой задачу многомерного характера, где необходимо учитывать различные критерии, такие как минимизация риска, достижение целевого уровня доходности и обеспечение диверсификации активов. В исследовании использован подход, основанный на минимизации стандартного отклонения доходности портфеля при заданных ограничениях на доли активов, что предотвращает чрезмерную концентрацию капитала на одном активе. Особое внимание уделяется использованию энтропийного показателя для оценки степени диверсификации, что позволяет равномерно распределять капитал среди активов и сн

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Sarwat, Ayesha, and Hameeda Akhtar. "Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis." Bulletin of Business and Economics (BBE) 12, no. 4 (2023): 238–53. http://dx.doi.org/10.61506/01.00108.

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During times of financial turmoil, when traditional assets experience significant volatility, commodity markets provide diversification benefits to investors. The objective is to investigate the factors influencing financial contagion between the United States and emerging Asian equity markets (China and India). The study analyzes the influential impact of the volatility index, gold, oil, and USD index on financial contagion among the markets. The dynamic conditional correlation analysis is utilized to explore the correlations during the US subprime and Covid-19 crises, and quantile regression

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Abdullah, Ahmad Monir, Hishamuddin Abdul Wahab, Abul Mansur Mohammed Masih, Mariani Abdul Majid, and Wai-Yan Wong. "THE CO-MOVEMENT OF CHINA AND US STOCK INDICES: A PORTFOLIO DIVERSIFICATION ANALYSIS." Journal of International Studies 19, no. 1 (2023): 1–35. http://dx.doi.org/10.32890/jis2023.19.1.1.

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The aim of this article is to find diversification opportunities by examining the time-varying and time-scale-based volatility andcorrelation of the US and Chinese stock market indices with crude oil, gold and Bitcoin price returns, as well as the exchange rate ofthe Chinese Yuan Renminbi against the US Dollar (CNY/USD) using a vector error correction model (VECM), namely, maximumoverlap discrete wavelet transformation (MODWT). Furthermore, individual and institutional investors may also reduce the risk of theirinvestment portfolio by investing in commodities and stock markets from countries w

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Shikha. "Analysis of the Dynamic Conditional Correlation among Financial Assets and the Value at Risk of the Portfolio, Featuring Gold USD and Cryptocurrency." Journal of Information Systems Engineering and Management 10, no. 9s (2025): 616–27. https://doi.org/10.52783/jisem.v10i9s.1288.

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This paper examines the risk-return attributes, interrelations, and diversification capabilities of Gold and prominent cryptocurrencies—Bitcoin, Ethereum, and XRP—utilizing sophisticated econometric models, such as Dynamic Conditional Correlation (DCC-GARCH) and Value at Risk (VaR) techniques. The research indicates that gold demonstrates low volatility and functions as a reliable hedge against the high-risk, high-reward characteristics of cryptocurrencies, especially Ethereum. The weak correlations across cryptocurrencies indicate little co-movement, emphasizing their distinct risk profiles a

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Contreras-Valdez, Mario I., José Antonio Núñez, and Guillermo Benavides Perales. "Bitcoin in Portfolio Selection: A Multivariate Distribution Approach." SAGE Open 12, no. 2 (2022): 215824402210961. http://dx.doi.org/10.1177/21582440221096124.

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This study presents a multivariate study regarding Bitcoin and its interactions with other financial assets of different classes. This is done by adjusting a multivariate semi heavy-tailed distribution to portfolios containing indexes, currencies, and commodities and one cryptocurrency. Later, a rolling window is deployed to obtain the dynamic parameters of the distribution in a weekly basis. With a Markowitz specification problem, the optimal portfolio weights are computed dynamically using the parameters of the multivariate NIG distribution as inputs. The results provide evidence that correl

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Saiti, Buerhan, and Nazrul Hazizi Noordin. "Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis." International Journal of Emerging Markets 13, no. 1 (2018): 267–89. http://dx.doi.org/10.1108/ijoem-03-2017-0081.

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Purpose The purpose of this paper is to quantify the extent to which the Malaysia-based equity investors can benefit from diversifying their portfolio into the conventional and Islamic Southeast Asian region and the world’s top ten largest equity indices (China, Japan, Hong Kong, India, the UK, the USA, Canada, France, Germany and Switzerland). Design/methodology/approach The multivariate GARCH-dynamic conditional correlation is deployed to estimate the time-varying linkages of the selected conventional and Islamic Asian and international stock index returns with the Malaysian stock index retu

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