Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis
Shawkat Hammoudeh and
Sang Hoon Kang
Finance Research Letters, 2017, vol. 21, issue C, 26-33
This study examines the dynamic correlations and portfolio diversification between the major developed and BRICS stock markets. The results reveal a significant variability in the time-varying conditional correlations between these markets during upturn and downturn periods. We underline the importance of overweighting the optimal portfolios with stocks from the developed countries over those from the BRICS. Finally, we demonstrate the usefulness of using developed market stocks in the BRICS stock portfolio risk management.
Keywords: Stock markets; Correlations; Hedge; Downside risk; DCC-FIAPARCH (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33
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