| Autor: |
Riza Demirer, Konstantinos Gkillas, Christos Kountzakis, Amaryllis Mavragani |
| Jazyk: |
angličtina |
| Rok vydání: |
2020 |
| Předmět: |
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| Zdroj: |
Mathematics, Vol 8, Iss 12, p 2255 (2020) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math8122255 |
| Popis: |
This paper examines the role of non-cash flow factors over correlation jumps in financial markets. Utilizing time-varying risk aversion measure as a proxy for investor sentiment and the cross-quantilogram method applied to intraday data, we show that risk aversion captures significant predictive power over realized stock-bond correlation jumps at different quantiles and lags. The predictive relation between correlation jumps and time-varying risk aversion is found to be asymmetric, as we detect a heterogeneous dependence pattern across different quantiles and lag orders. Our findings underline the importance of non-cash flow factors over correlation jumps, highlighting the role of behavioral factors in optimal portfolio allocations and the effectiveness of diversification strategies. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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