Is a correlation-based investment strategy beneficial for long-term international portfolio investors?
SW Narayan, MU Rehman, YS Ren, C Ma - Financial Innovation, 2023 - Springer
Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon
among investors, although the long-term benefits of this strategy remain unclear. This study …
among investors, although the long-term benefits of this strategy remain unclear. This study …
Computing stock price comovements with a three-regime panel smooth transition error correction model
This paper studies the hypothesis of stock price comovements toward the US market for a
large sample of developed and emerging stock markets (G6, BRICS, and MENA) over the …
large sample of developed and emerging stock markets (G6, BRICS, and MENA) over the …
Modeling international stock price comovements with high-frequency data
This paper studies stock price comovements in two key regions [the United States and
Europe, which is represented by three major European developed countries (France …
Europe, which is represented by three major European developed countries (France …
Can home-biased investors diversify interregionally in the long run?
We examine the case of long-term home-biased equity investors seeking international
diversification opportunities in their region of Asia, Central and Eastern Europe (CEE), Latin …
diversification opportunities in their region of Asia, Central and Eastern Europe (CEE), Latin …
Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
This paper studies the hypothesis of stock price comovements between the US market and
three different regions [the G6, BRICS and MENA (Middle East North Africa)] during calm …
three different regions [the G6, BRICS and MENA (Middle East North Africa)] during calm …