Dynamic co-movement of stock market and risk management by hedging strategies in diverse portfolios: A wavelet-multivariate GARCH

Muhammad Waris, Ijaz Younis, Rana Tahir Naveed, Muhammad Sadiq Shahid and Muhammad Abbas

Chaos, Solitons & Fractals, 2026, vol. 202, issue P2

Abstract: The financial events occurrence including the crisis and pandemics increased the panic in the global financial markets. Investors are in trouble for investment due to the cointegration pattern between the global markets in the period of these events. Investors belongs to different regions want to minimize their risk at given expected return. Some previous research provides the solution of the investors troubles by investigating different factors that affect the investment risk and return in the portfolio. This study provides a wide range of investment strategy that is helpful for the investors to minimize the portfolio risk by taking the cointegration or co-movement pattern in mind while preparing the effective portfolio.

Keywords: Portfolio; Diversification; Risk management; Wavelet; Emerging & OECD countries (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 N20 (search for similar items in EconPapers)
Date: 2026
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960077925015255
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:202:y:2026:i:p2:s0960077925015255

DOI: 10.1016/j.chaos.2025.117512

Access Statistics for this article

Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros

More articles in Chaos, Solitons & Fractals from Elsevier
Bibliographic data for series maintained by Thayer, Thomas R. ().