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Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis

Author

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  • Mensi, Walid
  • Hammoudeh, Shawkat
  • Kang, Sang Hoon
Abstract
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.

Suggested Citation

  • Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2017. "Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis," Finance Research Letters, Elsevier, vol. 21(C), pages 26-33.
    • Handle: RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33
    DOI: 10.1016/j.frl.2016.11.016
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    10. Cho, Jae-Beom & Min, Hong-Ghi & McDonald, Judith Ann, 2020. "Volatility and dynamic currency hedging," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    11. BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
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    More about this item

    Keywords

    Stock markets; Correlations; Hedge; Downside risk; DCC-FIAPARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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