Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage792en_US
dc.citation.spage744
dc.citation.volumeNumber85
dc.contributor.authorAli, F.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorGoodell, J. W.
dc.date.accessioned2024-03-13T13:22:53Z
dc.date.available2024-03-13T13:22:53Z
dc.date.issued2023-02-22
dc.departmentDepartment of Management
dc.description.abstractWe identify diversification benefits among Asian equity markets in the COVID-19 era. We find that such benefits among Asia-Pacific markets changed considerably during the pandemic, and most changes were persistent. In most cases, any of the sample equities had at least one safe-haven protection. The exceptions are Pakistan, Thailand, and Singapore, where diversification benefits are limited and vary across subperiods. The Hong Kong equity market provides safe-haven protection to most markets during periods of extreme negative returns. Further, we find that greater (lower) weightings on the Bangladeshi, Taiwanese, and Malaysian (Thai) markets provide important diversification in terms of maximizing Sharpe ratio and minimizing variance during the pandemic.
dc.identifier.doi10.1016/j.iref.2023.02.015
dc.identifier.eissn1873-8036
dc.identifier.issn1059-0560
dc.identifier.urihttps://hdl.handle.net/11693/114700
dc.language.isoen
dc.publisherElsevier BV
dc.relation.isversionofhttps://doi.org/10.1016/j.iref.2023.02.015
dc.rightsCC BY 4.0 DEED (Attribution 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleInternational Review of Economics & Finance
dc.subjectCOVID-19
dc.subjectAsian equity markets
dc.subjectInternational diversification
dc.subjectHedging
dc.subjectSafe haven
dc.subjectDynamic correlation
dc.subjectPortfolio optimization
dc.titleIdentifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation
dc.typeArticle

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