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

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  • Ali, Fahad
  • Sensoy, Ahmet
  • Goodell, John W.

Abstract

We 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.

Suggested Citation

  • Ali, Fahad & Sensoy, Ahmet & Goodell, John W., 2023. "Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 744-792.
    • Handle: RePEc:eee:reveco:v:85:y:2023:i:c:p:744-792
    DOI: 10.1016/j.iref.2023.02.015
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    Cited by:

    1. Shahid Raza & Sun Baiqing & Pwint Kay-Khine & Muhammad Ali Kemal, 2023. "Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis," IJFS, MDPI, vol. 11(3), pages 1-25, August.
    2. Zhang, Lixia & Bai, Jiancheng & Zhang, Yueyan & Cui, Can, 2023. "Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Maaz Khan & Mrestyal Khan & Umar Nawaz Kayani & Khurrum Shahzad Mughal & Roohi Mumtaz, 2023. "Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets," IJFS, MDPI, vol. 11(3), pages 1-21, September.

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    More about this item

    Keywords

    COVID-19; Asian equity markets; International diversification; Hedging; Safe haven; Dynamic correlation; Portfolio optimization;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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