Asymmetric volatility connectedness among US stock sectors
This paper examines the dynamic asymmetric volatility connectedness among ten US stock
sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and …
sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and …
Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications
In this paper, principal components analysis and Granger causality tests are used to study
the portfolio diversification implications of the co-movements of sector indexes in the US, UK …
the portfolio diversification implications of the co-movements of sector indexes in the US, UK …
Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
This study analyses the dynamic spillovers across 10 Dow Jones Islamic and conventional
sector index pairs. Using various multivariate GARCH models, the results show significant …
sector index pairs. Using various multivariate GARCH models, the results show significant …
[HTML][HTML] Volatility spillover among Japanese sectors in response to COVID-19
H Shigemoto, T Morimoto - Journal of Risk and Financial Management, 2022 - mdpi.com
This study clarifies how risks spread across economic sectors and indicates the sectors that
are the most affected to help investors with asset allocation and to support them in risk …
are the most affected to help investors with asset allocation and to support them in risk …
Dynamic spillover and connectedness in higher moments of European stock sector markets
This study examines the spillovers in high-order moments (realized volatility, jumps,
skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from …
skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from …
[PDF][PDF] The cross-sectional dispersion of stock returns, alpha and the information ratio
LR Gorman, SG Sapra, RA Weigand - Journal of Investing, 2010 - academia.edu
Both the cross-sectional dispersion of US stock returns and the VIX provide forecasts of
alpha dispersion across high-and low-performing portfolios of stocks that are statistically and …
alpha dispersion across high-and low-performing portfolios of stocks that are statistically and …
Managing portfolio managers: the impacts of market concentration, cross-sectional return dispersion and restrictions on short sales
H Raubenheimer - 2012 - scholar.sun.ac.za
The impacts on the active management of investment portfolios of a) market concentration,
b) cross-sectional return dispersion and c) restrictions on short sales are explored in this …
b) cross-sectional return dispersion and c) restrictions on short sales are explored in this …
Shewhart methodology for modelling financial series: a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Statistics at …
LPND Premarathna - 2017 - mro-ns.massey.ac.nz
Quality management techniques are widely used in industrial applications for monitoring
observable process variation. Among them, the scientific notion of Shewhart principles is …
observable process variation. Among them, the scientific notion of Shewhart principles is …
GLOBAL SECTOR BETA
BH Tay, Z Mohamed - Journal of Contemporary Issues and Thought, 2011 - ojs.upsi.edu.my
This paper aims to study the extent of variation in global sector beta in making international
portfolio investment decisions. Market model is used to determine global sector beta and the …
portfolio investment decisions. Market model is used to determine global sector beta and the …
NASDAQ Sector Returns and Market Conditions
J Patel - Journal of Finance Issues, 2008 - jfi-aof.org
This study compares stock returns for NASDAQ sector indices over varying market
conditions. The results reveal that, during relatively shorter periods of time, some sectors …
conditions. The results reveal that, during relatively shorter periods of time, some sectors …