The Dynamic Return and Volatility Spillovers among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications during Different Crises

The Dynamic Return and Volatility Spillovers among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications during Different Crises

This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end, we utilize the weekly returns on the MSCI Sau...

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Bibliographic Details
Main Author: Nassar S. Al-Nassar
Format: Article
Language:English
Published: MDPI AG 2023-09-01
Series:International Journal of Financial Studies
Subjects:
return-risk spillovers
time-varying correlations
hedging
portfolio diversification
size-based investment styles
crises
Online Access:https://www.mdpi.com/2227-7072/11/3/113

Internet

https://www.mdpi.com/2227-7072/11/3/113

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