Full text

Turn on search term navigation

© 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.

Abstract

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level of spillover exists in the short run only, and declines gradually in the medium to long run, thus providing opportunities for portfolio diversification (hedging) in multi-cap investing during the medium-to-long run (short run) only. Like total connectedness, a similar pattern of bilateral connectedness is observed between either of the two indices, thus providing a similar opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the time and frequency domains.

Details

Title
Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management
Author
Sangram Keshari Jena 1 ; Tiwari, Aviral Kumar 2   VIAFID ORCID Logo  ; Dash, Ashutosh 3 ; Emmanuel Joel Aikins Abakah 4 

 Finance & Economics, International Management Institute, Bhubaneswar 751003, India 
 Finance & Economics, Rajagiri Business School, Rajagiri Valley Campus, Kochi 682039, India; [email protected] 
 Accounting & Finance, Management Development Institute, Gurugram 122007, India; [email protected] 
 Department of Applied Economics, University of Cape Coast, Cape Coast CC-075-8216, Ghana; [email protected] 
First page
531
Publication year
2021
Publication date
2021
Publisher
MDPI AG
ISSN
19118066
e-ISSN
19118074
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2602094185
Copyright
© 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.