Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/9223
DC FieldValueLanguage
dc.contributor.authorGuidi, Francesco-
dc.contributor.authorSavva, Christos S.-
dc.contributor.authorUgur, Mehmet-
dc.contributor.otherΣάββα, Χρίστος Σ.-
dc.date.accessioned2017-01-24T10:00:27Z-
dc.date.available2017-01-24T10:00:27Z-
dc.date.issued2016-06-01-
dc.identifier.citationJournal of Multinational Financial Management, 2016, Volume 35, Pages 59-78en_US
dc.identifier.issn1042444X-
dc.identifier.urihttp://ktisis.cut.ac.cy/handle/10488/9223-
dc.description.abstractThis paper investigates the level of long-run co-movements and short-run dynamics among the Greater China region (Hong Kong SAR, Mainland China and Taiwan), the UK and the US stock markets. Although stock-price-index (SPI) co-movements are established in the long-run, the dynamic analysis based on a fixed rolling window of 160 weeks points out only intermittent episodes of long-run co-movements. Using an asymmetric dynamic covariance approach, we find positive but low and insignificant conditional correlations between stock market returns. These findings indicate scope for diversification benefits, the extent of which is estimated on the basis of different portfolio choices. Our portfolio analysis indicates that both UK and US investors would have secured higher levels of mean returns on the diversified portfolio. Furthermore, pairwise tests of equality show that the differences in the Sharpe ratios are statistically significant only in the case of UK investors.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2016 Elsevier B.V..en_US
dc.subjectCointegrationen_US
dc.subjectConditional correlationen_US
dc.subjectDiversificationen_US
dc.subjectRolling windowsen_US
dc.titleDynamic co-movements and diversification benefits: The case of the Greater China region, the UK and the US equity marketsen_US
dc.typeArticleen_US
dc.doihttp://dx.doi.org/10.1016/j.mulfin.2016.04.002en_US
dc.collaborationUniversity of Greenwichen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscription Journalen_US
dc.countryCyprusen_US
dc.countryUnited Kingdomen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.languageiso639-1other-
crisitem.author.deptDepartment of Commerce, Finance and Shipping-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0003-3354-6483-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Άρθρα/Articles
Show simple item record

Page view(s) 10

87
Last Week
0
Last month
4
checked on Sep 22, 2019

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.