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

Financial Innovation 2023年第1期9卷 1739-1764页

作者： Seema Wati Narayan mobeen ur rehman Yi‑Shuai Ren Chaoqun Ma Asia Pacific Applied Economics Association MelbourneAustralia Shaheed Zulfikar Ali Bhutto Institute of Science and Technology(SZABIST) IslamabadPakistan South ural State University 76 Lenin ProspektChelyabinskRussian Federation School of Public Administration Hunan UniversityChangshaChina Research Institute of Digital Society and Blockchain Hunan UniversityChangshaChina Centre for Resource and Environmental Management Hunan UniversityChangshaChina The Energy Centre University of AucklandAucklandNew Zealand Business School Hunan UniversityChangshaChina

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.

关键词： Portfolio diversification Portfolio mix Asia Central and Eastern Europe Middle East North Africa Latin America

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High frequency multiscale relationships among major cryptocurrencies:portfolio management implications

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Financial Innovation 2021年第1期7卷 1565-1585页

作者： Walid Mensi mobeen ur rehman Muhammad Shafiullah Khamis Hamed Al‑Yahyaee Ahmet Sensoy Department of Economics and Finance College of Economics and Political ScienceSultan Qaboos UniversityMuscatOman South ural State University 76Lenin ProspektChelyabinskRussian Federation Shaheed Zulfikar Ali Bhutto Institute of Science and Technology(SZABIST) IslamabadPakistan School of Economics University of Nottingham MalaysiaJalan Broga43500 SemenyihSelangorMalaysia Muscat University Al Ghubrah NorthMuscatOman Faculty of Business Administration Bilkent University06800 AnkaraTurkey

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin,Ethereum,Monero,Dash,Ripple,and *** apply nonlinear Granger causality and rolling window wavelet correlation(RWCC)to 15 *** RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies,especially between Bitcoin,Ethereum,and *** nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency *** advance evidence to improve portfolio risk assessment,and hedging strategies.

关键词： Cryptocurrency High frequency analysis Nonlinear multiscale causality Rolling window wavelet correlation

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Correction to:High frequency multiscale relationships among major cryptocurrencies:portfolio management implications

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Financial Innovation 2021年第1期7卷 1729-1729页

作者： Walid Mensi mobeen ur rehman Muhammad Shafullah Khamis Hamed Al‑Yahyaee Ahmet Sensoy Department of Economics and Finance College of Economics and Political ScienceSultan Qaboos UniversityMuscatOman South ural State University 76Lenin ProspektChelyabinskRussian Federation Shaheed Zulfkar Ali Bhutto Institute of Science and Technology(SZABIST) IslamabadPakistan School of Economics University of Nottingham MalaysiaJalan Broga43500 SemenyihSelangorMalaysia Muscat University Al Ghubrah NorthMuscatOman Faculty of Business Administration Bilkent University06800 AnkaraTurkey

Correction to:Financ Innov 7:75(2021)https://***/10.1186/s40854-021-00290-w Following publication of this article(Mensi et al.2021),the corresponding author reported that his 2nd affiliation was *** the corresponding author’s affiliations are:1Department of Economics and Finance,College of Economics and Political Science,Sultan Qaboos University,Muscat,Oman 2South ural State University,76,Lenin Prospekt,Chelyabinsk,Russian Federation The affiliations have been updated in this Correction and in the original article.

关键词： among College Russian

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