Narayan Seema Wati, Rehman Mobeen Ur, Ren Yi-Shuai, Ma Chaoqun
Asia Pacific Applied Economics Association, Melbourne, Australia.
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan.
Financ Innov. 2023;9(1):64. doi: 10.1186/s40854-023-00471-9. Epub 2023 Mar 9.
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 unclear. This 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 2016. Our strategy is as follows. We develop five portfolios based on the average unconditional correlation between domestic and foreign assets from 2000 to 2016. This yields five regional portfolios based on low to high correlations. In the presence of selected economic and financial conditions, long-term diversification gains for each regional portfolio are evaluated using a panel cointegration-based testing method. Consistent 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 gains. Our empirical method, which also permits the estimation of cointegrating regressions, provides the opportunity to evaluate the impact of oil prices, U.S. stock market fluctuations, and investor sentiments on regional portfolios, as well as to hedge against these fluctuations. Finally, we extend our data to cover the years 2017-2022 and find that our main findings are robust.
The online version contains supplementary material available at 10.1186/s40854-023-00471-9.
利用负相关至低相关资产来管理短期投资组合风险在投资者中并不罕见，尽管该策略的长期收益仍不明确。本研究考察了2000年至2016年基于亚洲、中东欧、中东和北非以及拉丁美洲股票市场的投资组合相关性策略的长期收益。我们的策略如下。我们根据2000年至2016年国内外资产之间的平均无条件相关性构建了五个投资组合。这产生了五个基于低相关性到高相关性的区域投资组合。在特定的经济和金融条件下，使用基于面板协整的检验方法评估每个区域投资组合的长期分散化收益。在所有投资组合和区域中一致的是，我们的关键协整结果表明，选择低相关投资组合以最大化分散化收益并不一定会带来长期分散化收益。我们的实证方法还允许估计协整回归，这为评估油价、美国股市波动和投资者情绪对区域投资组合的影响以及对冲这些波动提供了机会。最后，我们将数据扩展到2017 - 2022年，发现我们的主要发现是稳健的。
在线版本包含可在10.1186/s40854-023-00471-9获取的补充材料。
