Diversification and optimal hedges for socially responsible investment in Brazil

Casal, Ana Iglesias; López-Penabad, Maria Celia; Andión, Carmen López; Sanfiz, José Manuel Maside

doi:10.1016/j.econmod.2019.05.010

Cited by 27 publications

(10 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our findings contribute to the broad strands of the literature that consider religiosity as a monitoring mechanism that impacts the decision-making behavior of firms (Hilary and Hui, 2009;Grullon and Kanatas, 2010;Kumar et al, 2011;Dyreng et al, 2012;McGuire et al, 2012;Boone et al, 2013;Callen and Fang, 2015). Previous studies on asset securitization focused on the financial motives and economic benefits of using securitization (see Lockwood et al 1996;Purnanandam, 2011;Deku et al 2019;Abdelsalam et al 2020;Ivanov and Jiang, 2020;Iglesias-Casal et al 2020).…”

Section: Introductionmentioning

confidence: 67%

New insights into bank asset securitization: The impact of religiosity

Abdelsalam

Elnahass

Batten

et al. 2021

Journal of Financial Stability

View full text Add to dashboard Cite

Section: Introductionmentioning

confidence: 67%

New insights into bank asset securitization: The impact of religiosity

Abdelsalam

Elnahass

Batten

et al. 2021

Journal of Financial Stability

View full text Add to dashboard Cite

“…Following Iglesias-Casal et al (2020) and Asl et al (2021), the conditional mean equations for the main and SME markets are represented by the following VAR(1) system:…”

Section: The Asymmetric Bekk-garch Modelmentioning

confidence: 99%

The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region

Al-Nassar

Makram

2022

IJFS

View full text Add to dashboard Cite

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

show abstract

“…Eq. (1) specifies in matrix form the returns process as a VAR(1) model, which is suggested by Iglesias-Casal et al (2020), Liu et al (2017), Yu et al (2019, Jayasinghe et al (2014), and Mensi et al (2014), among others and is frequently used to capture the linear interdependencies among returns in a system. VAR models generalize numerous univariate autoregressive (AR) models by allowing for more than one evolving variable.…”

Section: The Var(1) Asymmetric Bekk Mgarch(11)mentioning

confidence: 99%