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Dynamic conditional correlations of the MINTs with the BRICs and the major markets: a first look to a globally diversified portfolio

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  • Stavros Stavroyiannis
  • Vassilis Babalos

Abstract

In recent years, emerging markets have attracted considerable attention from investors due to their growing participation into global economic output and stock market capitalisation. As a result, international investors are faced with new investment opportunities of international portfolio diversification through combination of assets from emerging and developed markets. Proper investment planning requires low correlations between the assets under consideration which brings into attention the time-varying nature of markets co-movements. The dynamic conditional correlations between the MINTs, the BRICs, and the major developed markets are examined. The correlations between the MINTs and the rest of the assets are promising and remain at a reasonably low level. A wide range of portfolios with short and long-only positions are constructed with significant contribution from the MINTs markets.

Suggested Citation

  • Stavros Stavroyiannis & Vassilis Babalos, 2017. "Dynamic conditional correlations of the MINTs with the BRICs and the major markets: a first look to a globally diversified portfolio," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 19(6), pages 671-686.
    • Handle: RePEc:ids:gbusec:v:19:y:2017:i:6:p:671-686
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