An analysis of co-movements in industrial sector indices over the last 30 years

Poynter, J. G.; Winder, James P.; Tai, Tzu

doi:10.1007/s11156-013-0399-z

Cited by 8 publications

(8 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Overall, the correlation of equity sector indexes are vary over time. After analyzing the developed bond market, Poynter et al (2013) recommends that sectoral diversification benefits can be gained for investors with long-term investment horizons for their equity investments, which is similar to the findings of this study.…”

Section: Discussionsupporting

confidence: 78%

An Analysis of Co-movement in Equity Sector Indices

Shari¹,

Mahat²

2021

IJARBSS

View full text Add to dashboard Cite

This study examines the co-movement among equity sector returns of the Malaysian capital market. The relationship is investigated using Correlation-based on Ordinary Least Square (OLS) and Multivariate-GARCH Dynamic Conditional Correlation (DCC) to examines the volatilities and correlations of sectoral equity indexes. The study uses daily data that ranges from 5 February 1999 to 6 February 2019. The OLS result reveal that there is a strong comovement between sectoral equity and the stock market prices except in tin and mining sector. While time-varying correlations among sectoral indexes are estimated using MGARCH-DCC, the empirical results from this analysis show that the plantation, properties and tin and mining sectors have negative unconditional correlation with the stock market, which is a good sign of diversification advantages. The findings have important implications helping portfolio managers and investors to understand the co-movement of equity sectors and then formulate policy measures that encourage better portfolio diversification.

show abstract

Section: Discussionsupporting

confidence: 78%

An Analysis of Co-movement in Equity Sector Indices

Shari¹,

Mahat²

2021

IJARBSS

View full text Add to dashboard Cite

show abstract

“…For example, Hargis and Jianping (2006) show that a shift in factor importance from country to industry. Rehman and Shah (2016) confirm the sector varying coefficients, indicating the sectoral riskiness varies, suggesting for future sectoral stock market investment portfolio (Poynter, Winder and Tai, 2013).…”

Section: Literature Reviewmentioning

confidence: 53%

“…However, they find the contradict finding that comovement of stock markets changes is not significantly in time. Among the studies that explore sector wise-stock return, Poynter et al (2013) suggest that there is an interrelationship between different sector indices in the US.…”

Section: Literature Reviewmentioning

confidence: 99%

An Analysis of the Relationship Between Equity and Composite Index in Bursa Malaysia

Mahat

Shari

Dahir

2020

IPJAF

View full text Add to dashboard Cite

This paper examines the relationship between sectoral equity and composite index in Bursa Malaysia. The relationship between equity returns and composite index is investigated using correlation-based on Ordinary Least Square (OLS) and signal decomposition techniques based on wavelet analysis. The paper uses daily data from 1999 to 2019. The OLS result indicated that majority of sectoral equity have a higher correlation with the composite index except in tin and mining sector. The wavelet analysis indicates a majority of sectors are strongly co-move. For all indices, there are lead/lag relationships between the indices except for industrial, plantation, tin mining and trade, and services. The findings have important implications for helping individual and institutional investors to understand the co-movement of equity sectors and then formulate policy measures that encourage better portfolio diversification.

show abstract

“…Existing research on the interdependence structure of the stock markets has shown that the study could effectively identify which sector plays a more important role in the national economy and could also provide new opportunities for investors to carry out a reasonable portfolio of assets [26]. However, there are very few studies on the interdependence structure of the stock sectors during the special period of COVID-19.…”

Section: Introductionmentioning

confidence: 99%

The Impact of COVID-19 on the Dependence of Chinese Stock Market

Xia

2021

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

By calculating the mutual information of stock indexes of 10 primary industry sectors in China, this paper analyzes the dependence relationship among Chinese stock sectors during the COVID-19 and the dynamic evolution of the relationship by using the sliding window method. According to the actual situation of the development of COVID-19 in China, the samples were divided into three stages, namely, calm period, pandemic period, and post-pandemic period. The results show that the dependence relationship among Chinese stock sectors is significantly enhanced in the pandemic period, but it decreases in the post-pandemic period and the dependence structure is similar to that in the calm period. The industrials sector is most closely connected with other sectors in the pandemic period. The information technology sector and telecommunication services sector maintain strong dependence in the three periods and share little contact with other sectors. In the pandemic period, the dependence between the consumer staples sector and other sectors is significantly enhanced, and consumer staples sector and health care sector maintain a strong dependence. From the results of the sliding window, the Chinese stock market is sensitive to the impact of COVID-19, but the duration of the impact on the dependence among the stock sectors is not long.

show abstract

An analysis of co-movements in industrial sector indices over the last 30 years

Cited by 8 publications

References 30 publications

An Analysis of Co-movement in Equity Sector Indices

An Analysis of Co-movement in Equity Sector Indices

An Analysis of the Relationship Between Equity and Composite Index in Bursa Malaysia

The Impact of COVID-19 on the Dependence of Chinese Stock Market

Contact Info

Product

Resources

About