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Cited by 36 publications
(28 citation statements)
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“…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.…”
Section: Resultsmentioning
confidence: 99%
“…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.…”
Section: Resultsmentioning
confidence: 99%
“…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).…”
Section: Resultsmentioning
confidence: 99%
“…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…”
Section: Accepted Manuscriptmentioning
confidence: 99%