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- Title
Probing Cross-Market Diversification : Opportunities in Energy Commodities.
- Authors
SIDDIQUI, SAIF; ROY, PREETI
- Abstract
The paper investigates the heterogeneous nature of equity- commodity from the perspective of three major emerging nations China, India and Brazil. Whether energy commodity markets could provide diversification advantages to the investors of the emerging markets during the two major recent crises. Adjusted ICSS was applied for determining breaks in the time series. DCC-GARCH (1,1) model and CWT were adopted for ascertaining both time & frequency dependent correlation. Both methods are adopted to produce robust conclusions. The findings suggest that Global Financial and Eurozone Debt Crisis effects all markets and diversification benefits are not homogenous across time and investment horizon. Evidences are produced using Non Liner Models. Vital implications for the investors, portfolio managers, hedgers and policy makers can be drawn from this study.
- Subjects
INDIA; BRAZIL; PORTFOLIO diversification; DEVELOPING countries; COMMODITY exchanges; PORTFOLIO managers (Investments); EMERGING markets; TIME series analysis
- Publication
Finance India, 2022, Vol 36, Issue 3, p1043
- ISSN
0970-3772
- Publication type
Article