Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/23301
Autoria: | Albuquerque Junior, M. Filipe, J. Neto, P. M. J. Silva, C. Da |
Data: | 2021 |
Título próprio: | Assessing the time-frequency co-movements among the five largest engineering consulting companies: A wavelet-base metrics of contagion and VaR ratio |
Volume: | 9 |
Número: | 5 |
ISSN: | 2227-7390 |
DOI (Digital Object Identifier): | 10.3390/math9050504 |
Palavras-chave: | Wavelet Industry factors Country factors Value at risk Co-movements Coherency |
Resumo: | Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica ISTAR-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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article_83425.pdf | Versão Editora | 5,12 MB | Adobe PDF | Ver/Abrir |
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