Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

“…Although the return characteristics of emerging markets are more different with higher market volatility, this effect is mitigated when accompanied by bear market conditions. (iii) Furthermore, it is worth mentioning that DCCs are related to volatility as well (see Baumö hl and Lyó csa, 2014). In this spirit, one might think that because the behaviour of correlations and riskreturn distances during times of higher market volatility is different, the concept of risk-return distances is different from correlations among markets.…”

Should pension funds hedge currency risk? The case of Poland

“…We should keep in mind that one of the stylized facts regarding financial asset prices behaviour states that low correlation of returns disappears when we most need it. The literature highlights the phenomenon of conditional co-movement in financial time series (Baumöhl & Lyócsa, 2014;Syllignakis & Kouretas, 2011), and hence we need to analyse the dynamic behaviour of correlation coefficients (Figure 2).…”

Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka

“…They find the relationship between correlations and volatilities is stronger in some country pairs (Australia with Brazil, Chile, India, Malaysia and Philippines) and very weak with Sri Lanka and Turkey. Baumohl and Lyocsa (2014) investigate possible international diversification benefits among 32 worldwide emerging markets (including Sri Lanka) and the…”