Is a correlation‑based investment strategy beneficial for long‑term international portfolio investors?

作     者：Seema Wati Narayan Mobeen Ur Rehman Yi‑Shuai Ren Chaoqun Ma 

作者机构：Asia Pacific Applied Economics AssociationMelbourneAustralia Shaheed Zulfikar Ali Bhutto Institute of Science and Technology(SZABIST)IslamabadPakistan South Ural State University76 Lenin ProspektChelyabinskRussian Federation School of Public AdministrationHunan UniversityChangshaChina Research Institute of Digital Society and BlockchainHunan UniversityChangshaChina Centre for Resource and Environmental ManagementHunan UniversityChangshaChina The Energy CentreUniversity of AucklandAucklandNew Zealand Business SchoolHunan UniversityChangshaChina 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2023年第9卷第1期

页      面：1739-1764页

核心收录：

学科分类：12[管理学] 0202[经济学-应用经济学] 02[经济学] 1203[管理学-农林经济管理] 05[文学] 020205[经济学-产业经济学] 0503[文学-新闻传播学] 

基　　金：supported by the National Natural Science Foundation of China(No.72104075,71850012,72274056) the National Office for Philosophy and Social Sciences Fund of China(No.19AZD014),Natural Science Foundation Project of Hunan Province(No.2022JJ40106) the Hunan University Youth Talent Program 

主　　题：Portfolio diversification Portfolio mix Asia Central and Eastern Europe Middle East North Africa Latin America 

摘      要：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 *** study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,Central and Eastern Europe,the Middle East and North Africa,and Latin America from 2000 to *** strategy is as *** develop five portfolios based on the average unconditional correlation between domestic and foreign assets from 2000 to *** yields five regional portfolios based on low to high *** the presence of selected economic and financial conditions,long-term diversification gains for each regional portfolio are evaluated using a panel cointegration-based testing *** across all portfolios and regions,our key cointegration results suggest that selecting a low-correlated portfolio to maximize diversification gains does not necessarily result in long-term diversification *** empirical method,which also permits the estimation of cointegrating regressions,provides the opportunity to evaluate the impact of oil prices,*** market fluctuations,and investor sentiments on regional portfolios,as well as to hedge against these ***,we extend our data to cover the years 2017–2022 and find that our main findings are robust.