EconPapers    
Economics at your fingertips  
 

Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

Marcos Albuquerque Junior (), José António Filipe (), Paulo de Melo Jorge Neto () and Cristiano da Costa da Silva ()
Additional contact information
Marcos Albuquerque Junior: Iscte-Instituto Universitário de Lisboa, 1649-026 Lisboa, Portugal
José António Filipe: Departamento de Matemática, Iscte-Instituto Universitário de Lisboa, ISTAR-Iscte, BRU-Iscte, 1649-026 Lisboa, Portugal
Paulo de Melo Jorge Neto: Center for Advanced Studies, Economics CAEN-UFC-Department of Economics, Federal University of Ceará, Fortaleza 60020-180, Brazil
Cristiano da Costa da Silva: Graduate Program in Economics-EPP/UERN, Department of Economics, University of the State of Rio Grande do Norte, Mossoró 59610-210, Brazil

Mathematics, 2021, vol. 9, issue 5, 1-16

Abstract: Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles.

Keywords: wavelet; industry factors; country factors; value at risk; co-movements; coherency (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/2227-7390/9/5/504/pdf (application/pdf)
https://www.mdpi.com/2227-7390/9/5/504/ (text/html)

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:gam:jmathe:v:9:y:2021:i:5:p:504-:d:508184

Access Statistics for this article

Mathematics is currently edited by Ms. Patty Hu

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().

 
Page updated 2022-03-26
Handle: RePEc:gam:jmathe:v:9:y:2021:i:5:p:504-:d:508184