Title: Dynamic conditional correlations of the MINTs with the BRICs and the major markets: a first look to a globally diversified portfolio
Authors: Stavros Stavroyiannis; Vassilis Babalos
Addresses: Department of Accounting and Finance, School of Management and Economics, Technological Educational Institute of Peloponnese, Greece ' Department of Accounting and Finance, School of Management and Economics, Technological Educational Institute of Peloponnese, Greece; Department of Banking and Financial Management, School of Finance and Statistics, University of Piraeus, Greece
Abstract: In recent years, emerging markets have attracted considerable attention from investors due to their growing participation into global economic output and stock market capitalisation. As a result, international investors are faced with new investment opportunities of international portfolio diversification through combination of assets from emerging and developed markets. Proper investment planning requires low correlations between the assets under consideration which brings into attention the time-varying nature of markets co-movements. The dynamic conditional correlations between the MINTs, the BRICs, and the major developed markets are examined. The correlations between the MINTs and the rest of the assets are promising and remain at a reasonably low level. A wide range of portfolios with short and long-only positions are constructed with significant contribution from the MINTs markets.
Keywords: MINTs; BRICs; dynamic conditional correlation; Markowitz portfolio.
Global Business and Economics Review, 2017 Vol.19 No.6, pp.671 - 686
Received: 14 Oct 2015
Accepted: 21 Jan 2016
Published online: 12 Oct 2017 *