Investment Strategies in Turbulent Times: A Comparative Analysis of Developed and Emerging Markets

被引：0
|
作者：
Abdullah, Ahmad Monir [1 ]
Tuyon, Jasman [2 ]
Abdullah, Maizatulakma [1 ]
Keliwon, Kamarul Baraini [1 ]
Abdullah, Hamdy [3 ]
机构：
[1] Univ Kebangsaan Malaysia, Fak Ekonomi Dan Pengurusan, Bangi 43600, Selangor, Malaysia
[2] Univ Teknol Mara, Fac Business & Management, Sabah, Malaysia
[3] Univ Sultan Zainal Abidin, Fak Perniagaan & Pengurusan, Terengganu, Malaysia
来源：
INTERNATIONAL TRADE JOURNAL | 2025年
关键词：
Hedging; MGARCH-DCC; portfolio diversification benefits; safe haven; stock index returns (SIR); STOCK MARKETS; INTEGRATION; LINKAGES;
D O I：
10.1080/08853908.2025.2453137
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study examines portfolio diversification between emerging (China, Malaysia, the Philippines, and Thailand) and developed markets (the USA, UK, Singapore, Hong Kong, and Australia) from January 2006 to August 2022 using MGARCH-DCC analysis. Malaysia's stock index shows low volatility but a declining trend. The USA index offers the lowest volatility and correlation, making it ideal for diversification with Asian markets. The Philippine index also provides diversification benefits. However, China's and Thailand's indices pose risks due to high volatility. Correlations spiked during the 2007 subprime crisis but later stabilized. The findings guide investors on diversification strategies and highlight caution with volatile markets.
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页数：31
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