engleski

CEE and SEE equity market return spillovers: Creating profitable investment strategies

Portfolio management today employs many different quantitative tools for investors to achieve their goals in a faster and better way. For purposes of portfolio diversification possibilities, the connectedness among stock markets is being evaluated constantly over the last several of decades. This research fills the gap in the literature by estimating spillover indices of Diebold and Yilmaz (2009, 2012) among selected 11 CEE (Central and Eastern European) and SEE (Southern and Eastern European) stock markets. Moreover, investment strategies are simulated based upon the results to guide international investors on how to compose their portfolios to beat the market. The results from empirical analysis for the period 2010-2018 indicate that the spillover indices methodology can provide useful information regarding the timing of investing for those who aim to maximize their portfolio value concerning the net spillovers from one series to another.

return spillovers ; emerging stock markets ; variance decomposition ; spillover index

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