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Meteor Shower and Global Asset Allocation

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 F.E.B.S. (Unpublished) (KAR id:84212)


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)
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: (The current URI for this page, for reference purposes)

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