Sultan, Jahangir, Hasan, Mohammad S. (2019) Meteor Shower and Global Asset Allocation. In: 9th International Conference of the Financial Engineering and Banking Society. . F.E.B.S. (Unpublished) (KAR id:84212)
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Abstract
We show that basic materials, financials, industrial, technologies, and telecommunication equity sectors were the primary exporters of volatility from the U.S. and that the magnitude of the spillover increased especially during and post-2008 financial crisis. Investing in low volatility spillover countries generate high Sharpe ratios for U.S. portfolio managers, especially during the financial crisis.
| Item Type: | Conference or workshop item (Paper) |
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| Uncontrolled keywords: | Volatility, spillover, meteor shower, VIX, investable equity indexes, financial crisis, portfolio optimization. JEL Code: F36, F65, G01, G11, G15 |
| Subjects: | H Social Sciences |
| Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Depositing User: | Mohammad Hasan |
| Date Deposited: | 16 Nov 2020 15:58 UTC |
| Last Modified: | 09 Dec 2022 04:26 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/84212 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Hasan, Mohammad S..
| Creator's ORCID: |
 https://orcid.org/0000-0002-2453-6868
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