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Dynamic co-movement of stock market and risk management by hedging strategies in diverse portfolios: A wavelet-multivariate GARCH

Author

Listed:
  • Waris, Muhammad
  • Younis, Ijaz
  • Naveed, Rana Tahir
  • Shahid, Muhammad Sadiq
  • Abbas, Muhammad

Abstract

The financial events occurrence including the crisis and pandemics increased the panic in the global financial markets. Investors are in trouble for investment due to the cointegration pattern between the global markets in the period of these events. Investors belongs to different regions want to minimize their risk at given expected return. Some previous research provides the solution of the investors troubles by investigating different factors that affect the investment risk and return in the portfolio. This study provides a wide range of investment strategy that is helpful for the investors to minimize the portfolio risk by taking the cointegration or co-movement pattern in mind while preparing the effective portfolio.

Suggested Citation

  • Waris, Muhammad & Younis, Ijaz & Naveed, Rana Tahir & Shahid, Muhammad Sadiq & Abbas, Muhammad, 2026. "Dynamic co-movement of stock market and risk management by hedging strategies in diverse portfolios: A wavelet-multivariate GARCH," Chaos, Solitons & Fractals, Elsevier, vol. 202(P2).
    • Handle: RePEc:eee:chsofr:v:202:y:2026:i:p2:s0960077925015255
    DOI: 10.1016/j.chaos.2025.117512
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    References listed on IDEAS

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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