Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective

2009 ◽  
Vol 19 (2) ◽  
pp. 160-177 ◽  
Author(s):  
R. Gupta ◽  
G.D. Donleavy
Keyword(s):  
Emerging Markets ◽  
Time Varying

Diversification into Emerging Markets - An Australian and the US Perspective Using a Time-varying Approach

2017 ◽  
Vol 56 (2) ◽  
pp. 134-162
Author(s):  
Rakesh Gupta ◽  
Junhao Yang ◽  
Thadavillil Jithendranathan
Keyword(s):  
Emerging Markets ◽  
Time Varying ◽  
The Us

scholarly journals Shape-shift contagion in emerging markets equities: evidence from frequency- and time-domain analysis

2020 ◽  
Vol 9 (3) ◽  
pp. 146-156
Author(s):  
Peterson Owusu Junior ◽  
Imhotep Alagidede ◽  
George Tweneboah
Keyword(s):  
Emerging Markets ◽  
Time Domain ◽  
Time Domain Analysis ◽  
Equity Returns ◽  
Time Dependent ◽  
Higher Moments ◽  
Time Varying ◽  
Shape Parameters ◽  
Short Term ◽  
The Us

We explore interdependence and contagion in the top 9 emerging markets and the US equities using a novel time-varying GLD-based Baruník & Křehlík (2018) (BK18) spillover technique. The GLD accounts for the extreme returns while the BK18 capture the nonlinear, nonstationary, asymmetric, and time-dependent comovements in higher moments. We find dominance of some emerging markets instead of the US in the frequency-dependent spillovers. We also establish shape shift-contagion in emerging markets equities in the short-term. Our results shed new light on the sources of connectedness and contagion through the shape parameters of equity returns.

Sign in / Sign up

Export Citation Format

Share Document