Portfolio optimisation in global equity markets

Tiwary, Mrityunjay Kumar and Aggarwal, Vaibhav (2025) Portfolio optimisation in global equity markets. International Journal of Business Innovation and Research, 37 (1). ISSN 1751-0252

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Abstract

Over the past few decades, economic liberalisation and tech advancements have strengthened linkages between world equity indices in both developed and developing economies. Several studies indicate significant volatility transmission amongst major global equity indices. However, this study addresses the scant literature on utilising the volatility linkages to create pair-wise efficient portfolio weights for international investors. The findings suggest that international investors in the emerging market should give the highest allocation to Taiwan and the lowest exposure to Russia. Further, investors in frontier markets should give maximum portfolio allocation to the Canadian stock market. This study has several important implications. First, international investors can formulate better risk-adjusted equity portfolios across major markets. Second, the regulators can formulate policies to reduce the inflow of volatility from other markets with suitable policies.

Item Type: Article
Keywords: portfolio weight | BEKK-GARCH | spillover | stock indices | diversification
Subjects: Social Sciences and humanities > Business, Management and Accounting > General Management
JGU School/Centre: Jindal Global Business School
Depositing User: Mr. Luckey Pathan
Date Deposited: 29 Jun 2025 15:45
Last Modified: 29 Jun 2025 15:45
Official URL: https://www.inderscienceonline.com/doi/epdf/10.150...
URI: https://pure.jgu.edu.in/id/eprint/9703

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