Journal article
Sovereign default risk linkage: Implication for portfolio diversification
Pacific-Basin Finance Journal, Vol.41, pp.1-16
2017
Abstract
Dynamic conditional correlation, principal components analysis, and impulse response function analysis are employed to examine the interdependence of sovereign credit default swaps (SCDS) in the different emerging market regions of Asia, Europe and Latin America. Using these measures, Asian emerging markets show strong linkage among themselves, both during and after the financial crisis, but less responsive to shocks in European and Latin American regions. Emerging markets in Europe and Latin America have weaker regional bonds than Asian markets. Accordingly, knowledge of the varying correlations, commonality and persistence of shocks existing in intra- and inter-regional markets provides insight for superior portfolio diversification with SCDS.
Details
- Title
- Sovereign default risk linkage: Implication for portfolio diversification
- Authors/Creators
- K. Hassan (Author/Creator)A. Hoque (Author/Creator)D. Gasbarro (Author/Creator)
- Publication Details
- Pacific-Basin Finance Journal, Vol.41, pp.1-16
- Publisher
- Elsevier
- Identifiers
- 991005540173007891
- Murdoch Affiliation
- School of Management and Governance
- Language
- English
- Resource Type
- Journal article
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- Citation topics
- 6 Social Sciences
- 6.10 Economics
- 6.10.80 Market Interdependencies
- Web Of Science research areas
- Business, Finance
- ESI research areas
- Economics & Business