2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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2022 - 20242

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Tema: search.filters.subject.Diversification

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Mostrando 1 - 2 de 2
  • Miniatura
    ÍtemSolo Metadatos
    Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
    (Universidad ESAN. ESAN Ediciones, 2024-03-30) Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek
    Purpose: This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers. Design/methodology/approach: The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation. Findings: Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality/value: The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
  • Miniatura
    ÍtemSolo Metadatos
    Pakistan: a study of market’s returns and anomalies.
    (Universidad ESAN. ESAN Ediciones, 2022-12-28) Tauseef, Sana; Dupuy, Philippe
    Purpose: This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in Pakistan's market. Design/methodology/approach: Comparative analysis of Pakistan Stock Exchange is performed using data for 22 developed and 22 emerging markets over the period 1993–2019. Cross-sectional analysis is performed using data for 130 non-financial firms from Pakistan and Carhart (1997) and Fama and French (2015) models are applied. The role of liquidity with five-factor model is analyzed using turnover rate and Amihud (2002) illiquidity cost as liquidity measures. Findings: Pakistan's equity offers substantial diversification benefits if added to developed market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating that investors may want to invest preferably in big stocks with low book-to-market and momentum. Finally, global investors can invest in high yielding stocks with low liquidity risk owing to positive connection between liquidity and returns. Practical implications: This study will provide investment model for foreign investors to enhance their portfolio returns. Policy makers in Pakistan must identify regulatory steps to facilitate foreign investments. Originality/value: To the best of the authors' knowledge, this is the first study which identifies efficiency gains offered by Pakistan's equity for global investors.