Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Deprecated: Implicit conversion from float 219.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534
Warning: imagejpeg(C:\Inetpub\vhosts\kidney.de\httpdocs\phplern\C7213009
.jpg): Failed to open stream: No such file or directory in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 117 ä-/-ä 2020 ; 54
(ä): 101219
Nephropedia Template TP
gab.com Text
Twit Text FOAVip
Twit Text #
English Wikipedia
Spillovers and diversification potential of bank equity returns from developed
and emerging America
#MMPMIDC7213009
Arreola Hernandez J
; Kang SH
; Shahzad SJH
; Yoon SM
ä-/-ä 2020[Nov]; 54
(ä): 101219
PMIDC7213009
show ga
We examine the network spillovers, portfolio allocation characteristics and
diversification potential of bank returns from developed and emerging America. We
draw our results by applying a directional spillover index, the tail-event driven
network (TENET) and nonlinear portfolio optimization methods on bank returns. We
find that the spillovers and connectedness among banks from emerging America are
noticeably smaller than those among banks from developed America. The largest
emerging market spillover transmitters and receivers are the banks from Brazil,
followed by the banks from Chile. The largest developed market spillover
transmitter is JP Morgan Chase. The connectedness among banks from developed
America is dominated by the banks from the USA, relative to those from Canada.
The total connectedness of the emerging market banks is more intensified than
that of the banks from developed America due to the effect of the COVID-19
pandemic. The portfolio optimization shows that in developed America, the largest
banks from the USA are the largest risk contributors to total portfolio risk,
whereas the banks from Canada contribute the least risk. In emerging America, the
banks from Brazil contribute the most risk to total portfolio risk while the
banks from Peru and one bank from Colombia contribute the least risk. The
portfolio of banks from emerging America offers greater diversification potential
and lower total portfolio allocation risk.