Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis
Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis
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DOI：
10.1016/j.irfa.2015.01.015
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发表时间：
2015-05-01
影响因子：
8.2
通讯作者：
Boubaker, Adel
中科院分区：
文献类型：
--
作者：
Syriopoulos, Theodore;Makram, Beljid;Boubaker, Adel
本文研究了金砖四国(巴西、俄罗斯、印度、中国、南非)资本市场的动态风险收益特性，并建立了与美国股市潜在的时变相关性和波动溢出效应模型。VAR(1)-GARCH(1，1)框架有助于对美国-金砖国家市场互动的有用洞察，并在过去薄薄的经验文献基础上进行扩展。分类方法关注美国-金砖国家的关键商业部门，即工业和金融部门。在美国和金砖国家的股票市场和商业部门之间发现了显著的回报和波动性传导动态。这是一个关键的投入，可能会影响有效的全球投资组合多元化和风险管理战略。基于这一经验证据，该研究继续评估有效的投资组合对冲比率，并构建最优投资组合权重，以实现对美国-金砖四国市场和商业部门的多元化资产配置。(C)2015 Elsevier Inc.保留所有权利。
The paper investigates the dynamic risk-return properties of the BRICS (Brazil, Russia, India, China, South Africa) capital markets and models potential time-varying correlations and volatility spillover effects with the US stock market. A VAR(1)-GARCH(1,1) framework contributes useful insight into US-BRICS market interactions and expands on a thin past empirical literature. A disaggregated approach pays attention to critical US-BRICS business sectors, namely the industrial and financial sectors. Significant return and volatility transmission dynamics are identified between the US and BRICS stock markets and business sectors. This is a critical input that can affect efficient global portfolio diversification and risk management strategies. Based on this empirical evidence, the study proceeds to assess effective portfolio hedge ratios and to construct optimal portfolio weights for diversified asset allocation to US-BRICS markets and business sectors. (C) 2015 Elsevier Inc. All rights reserved.