用另类投资探索投资组合多样化：一种国际ttv - var方法

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103143

Alexandros Tsioutsios , Larisa Yarovaya , Dimitrios Dimitriou

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引用次数: 0

摘要

本研究考察了投资组合多样化的潜力，包括广泛的国际资产，包括股票、债券、大宗商品以及黄金、比特币和房地产等替代品。利用来自30多个国家的13年每日收益数据（MSCI指数），并采用时变参数向量自回归（TVP-VAR）方法，我们深入了解了这些资产的连通性行为。结果表明，MSCI股票指数（即MSCIWO、MSCNA、MSCIEU、MSCIPC）表现出较强的互联性和全球影响力，而债券则与股票表现出双向波动。布伦特（Brent）和北京石油公司（BCOM）带来了显著的溢出效应，尤其是对天然气，而BDI仍处于孤立状态。黄金作为一种对冲工具，与大宗商品和债券挂钩，而比特币在很大程度上仍与传统市场脱节。这些发现对寻求优化投资组合多样化的投资者、基金、银行和政策制定者具有实际意义。

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Exploring portfolio diversification with alternative investments: An international TVP-VAR approach

This study examines the potential for portfolio diversification across a wide range of international assets, including equities, bonds, commodities, and alternatives like gold, Bitcoin, and real estate. Using 13 years of daily returns data from over 30 countries (MSCI indices) and employing time-varying parameter vector autoregressive (TVP-VAR) approach, we provide insights into the behavior of connectedness of these assets. The results indicate that the MSCI equity indices (i.e., MSCIWO, MSCNA, MSCIEU, MSCIPC) show strong interconnectedness and global influence, while bonds exhibit bidirectional volatility with equities. Brent and BCOM drive significant spillovers, especially to NG, while BDI remains isolated. Gold acts as a hedge, linking to commodities and bonds, whereas Bitcoin remains largely disconnected from traditional markets. These findings offer practical implications for investors, funds, banks, and policymakers seeking to optimize portfolio diversification.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance