Browsing by Subject "Diversification"

Now showing 1 - 9 of 9

Open Access
Does bitcoin improve optimal portfolios? A stochastic spanning approach
(2020-09) Rahiminejat, Monireh
The thesis evaluates the impact of Bitcoin as a means of portfolio diversification on different stochastically efficient portfolios. Here, the stochastic efficient portfolios are the results obtained by applying the stochastic spanning model on 11 different asset classes of various sectors of the financial market. Bitcoin exclusive and inclusive portfolios are compared with Sharpe ratio. Results reveal that in most of the cases, Bitcoin improves the optimal portfolio and should be considered as an asset to be included in investments.
Open Access
Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market
(Elsevier, 2021-07-31) Ali, F.; Jiang, Y.; Şensoy, Ahmet
Besides great turmoil in financial markets, the COVID-19 pandemic also disrupted the global supply chain, putting the precious metal market into great uncertainty. In this study, we revisit the diversifying role of precious metals – gold, silver, and platinum – for six Dow Jones Islamic (DJI) equity index portfolios using a battery of tests: dynamic conditional correlations (DCCs), four-moment modified value at risk (VaR) and conditional VaR, and global minimum-variance (GMV) portfolio approach. Our empirical results exhibit drastically increased DCCs between sample assets during the COVID period; however, pairing gold with any of the DJI equity indices (except for the Asia-Pacific region) decreases the downside risk of these portfolios. Other precious metals (silver and platinum) do not provide such benefits. Furthermore, we find that a higher allocation of wealth in DJI Japanese equities and gold is required to achieve a GMV portfolio in the post-COVID-19 era, implying higher transaction (hedging) costs to rebalance portfolios (weights) accordingly. Our out-of-sample tests examining the global financial crisis, European debt crisis, and extended sample (2000–2020) periods yield similar findings as gold glitters across all market conditions. Overall, our findings provide notable practical implications for both domestic and international investors.
Open Access
An exploration of organizational factors in new product development success
(Emerald Publishing, 2006) Kandemir, D.; Calantone, R.; Garcia, R.
Purpose - This study surveys a broad spectrum of new product development (NPD) projects from the biochemistry industry in the USA, Canada, Germany, the UK, and Belgium with the purpose of exploring the role of the organizational activity factors in the NPD success. Design/methodology/approach - Drawing on the resource-based view of the firm, the authors present a set of hypotheses concerning the relationship between the people resources, development resources, testing resources, and launch resources committed to NPD projects and their financial success. In addition, the effect of the firm's international market involvement on the NPD project success is considered. In this study, testing of the hypothesized relationship is accomplished through linear probability model, binary probit model, and binary logit model. Findings - Empirical results generally support the predictions from the theory. Specifically, the findings of this study show that: the involvement of a strong champion, use of a multi-disciplinary team, and focus of a dedicated team are key factors for NPD project success among the people resources; the detailed market research has a significant impact on the project success in the development phase of the NPD process; the allocation of resources to the testing of the product with the final customer, market testing, and production start-up positively influences the NPD project success; advertising quality plays a key role in the NPD project success during its launch; and the NPD project success is positively associated with the degree of a firm's diversification into international markets. Originality/value - This study provides several guidelines for product managers seeking to launch new products. It offers critical insights into the identification of firm resources that influence the NPD project success. This study also has important implications for firms that consider diversifying or have already diversified into international markets. Understanding the role of market diversification in the NPD project success advances the ability of managers to direct their efforts in international market involvement.
Open Access
The influence of Bitcoin on portfolio diversification and design
(Elsevier, 2020) Akhtaruzzaman, M.; Şensoy, Ahmet; Corbet, S.
We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index, allowing an investment in Bitcoin to hedge the risk against industry portfolios and bonds. The most effective hedge in a Bitcoin/industry (bond) portfolio is to short Utilities sector. Results are robust to the use of US industry portfolios and a cryptocurrency index instead of global industry portfolios and Bitcoin, respectively. Our results can help investors make informed decisions with regard to risk management and portfolio analysis.
Open Access
Portfolio selection methods: An Application to İstanbul Securities Exchange
(1989) Seler, İ. Tunç
In this study, Modern Portfolio Theory tools -are used for constructing efficient portfolios. The Markowitz mean-variance model and Sharpe single index model are presented and calculated, for the construction of efficient portfolios from the Istanbul Securities Exchanges’ first market slocks for the 1986 - 1987 period. Constructed efficient portfolios are compared on the risk and return scales.
Open Access
Portfolio selection methods: an application to Istanbul Securities Exchange Market
(1996) Çetin, Mert
In this study, Modern Portfolio Theory tools are used for constructing efficient portfolios. The Markowitz mean-variance model is presented and calculated for the construction of efficient portfolios from the Istanbul Securities Exchange Market stocks for the 1993-1994 period. The portfolios constructed are compared on the risk and return scales.
Open Access
Safe havens for Bitcoin and Ethereum: evidence from high-frequency data
(SpringerOpen, 2025-01-15) Ali, Fahad; Khurram, Muhammad Usman; Şensoy, Ahmet
Investing in cryptocurrencies is progressively becoming a norm; however, these assets are excessively volatile and often decrease or increase in value instantly. Thus, rational investors holding cryptocurrencies for extended periods firmly search for assets that can diversify their risk, preferably with assets other than cryptocurrencies. In this study, we consider the two most studied cryptocurrencies with the highest capitalization and trading volume/value, namely Bitcoin and Ethereum. Specifically, we examine whether high-performing leading US tech stocks (Facebook, Amazon, Apple, Netflix, Google [FAANG]) can provide any diversification benefits to cryptocurrency investors. To do so, we employ dynamic conditional correlation (DCC), asymmetric DCC, time-varying parameter vector autoregression-based connectedness measures, dynamic correlation-based hedge and safe-haven regression analyses, portfolio optimization and hedging strategies, time- and frequency-based wavelet coherence, and high-frequency 10-min intraday data from January 1, 2018 to January 31, 2023. We find that FAANG stocks can be considered (at least weak) safe havens for Bitcoin and Ethereum during the sample period. Our subperiod analyses reveal that the safe-haven role of FAANG stocks, specifically for Bitcoin, has noticeably increased. While the safe-haven property of Facebook is the most promising, for Netflix it is blurred between a weak-safe-haven and a hedge. Our findings may help investors, policymakers, and academicians to invest in cryptocurrencies, formulate relevant investment guidelines, and extend the literature on cryptocurrencies, respectively.
Open Access
A tool for detecting complementary single nucleotide polymorphism pairs in genome-wide association studies for epistasis testing
(Mary Ann Liebert, Inc. Publishers, 2021-04-20) Çaylak, Gizem; Tastan, O.; Çiçek, Ercüment
Detecting interacting loci pairs has been instrumental to understand disease etiology when single locus associations do not fully account for the underlying heritability. However, the number of loci to test is prohibitively large. Epistasis test prioritization algorithms rank likely epistatic single nucleotide polymorphism (SNP) pairs to limit the number of statistical tests. Potpourri detects epistatic SNP pairs by diversifying the selected SNPs' genomic regions and investigating their co-occurrence patterns over the case cohort. It can also input and further prioritize SNPs in regulatory or coding regions. The program identifies and returns a list of prioritized SNP pairs for epistasis testing. This article describes how to use the program and the details of the input and output data.
Embargo
Volatility spillovers and hedging strategies between impact investing and agricultural commodities
(Elsevier BV, 2024-07) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Şensoy, Ahmet; Goodell, John W.
We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.