Investor sentiment and the interdependence structure of GIIPS stock market returns: A multiscale approach

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023005
S. Agyei, A. Bossman
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引用次数: 2

Abstract

The GIIPS economies are noted to suffer the most consequences of systemic crises. Regardless of their bad performance in crisis periods, their role(s) in asset allocation and portfolio management cannot go unnoticed. For effective portfolio management across divergent timescales, cross-market interdependencies cannot be side-lined. This study examines the conditional and unconditional co-movements of stock market returns of GIIPS economies incorporating investor fear in their time-frequency connectedness. As a result, the bi-, partial, and multiple wavelet approaches are employed. Our findings explicate that the high interdependencies between the stock market returns of GIIPS across all time scales are partly driven by investor fear, implying that extreme investor sentiment could influence stock market prices in GIIPS. The lagging role of Spanish stock market returns manifests at zero lags at high (lower) and medium frequencies (scales). At lower frequencies (higher scales), particularly quarterly-to-biannual and biannual-to-annual, Spanish and Irish stock markets, respectively, lag all other markets. Although portfolio diversification and safe haven benefits are minimal with GIIPS stocks, their volatilities could be hedged against by investing in the US VIX. Intriguing inferences for international portfolio and risk management are offered by our findings.
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投资者情绪与GIIPS股票市场收益的相互依赖结构:一个多尺度的方法
GIIPS经济体受到系统性危机的影响最为严重。尽管它们在危机时期表现不佳,但它们在资产配置和投资组合管理中的作用不容忽视。为了在不同的时间尺度上进行有效的投资组合管理,跨市场的相互依赖不能被边缘化。本研究考察了GIIPS经济体的股票市场回报的条件和无条件共同运动,其中包括投资者恐惧的时频连通性。因此,采用了双小波、偏小波和多小波方法。我们的研究结果表明,在所有时间尺度上,GIIPS股票市场回报之间的高度相互依赖性部分是由投资者恐惧驱动的,这意味着极端的投资者情绪可能会影响GIIPS的股票市场价格。西班牙股市回报的滞后作用在高(低)和中频(尺度)表现为零滞后。在较低的频率(较高的尺度),特别是每季度到每两年和每两年到每一年,西班牙和爱尔兰的股票市场分别落后于所有其他市场。尽管投资GIIPS股票的投资组合多样化和避险收益微乎其微,但它们的波动性可以通过投资美国波动率指数来对冲。我们的研究结果为国际投资组合和风险管理提供了有趣的推论。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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