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Mosab I. Tabash, Neenu Chalissery, T. Mohamed Nishad and Mujeeb Saif Mohsen Al-Absy
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selec...
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Nassar S. Al-Nassar
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,...
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Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investiga...
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Paul Ndonye, Jagongo Ambrose
Pág. 238 - 244
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José Almeida and Tiago Cruz Gonçalves
This study aims to systematically analyze and synthesize the literature produced thus far on cryptocurrency investment. We use a systematic review process supported by VOSviewer bibliographic coupling to review 482 papers published in the ABS 2021 journa...
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Sumathi Kumaraswamy, Yomna Abdulla and Shrikant Krupasindhu Panigrahi
Recurrent stock market fall and rise sequel by COVID-19, rising global inflation, increase in Fed interest rates, the unprecedented meltdown of technology stocks, fear of trade wars, tightening of governments? fiscal policies call for a new trend in inte...
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Mirza Sikalo, Almira Arnaut-Berilo and Azra Zaimovic
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz?...
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Musumba Batondo and Josine Uwilingiye
During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The curren...
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Guido Abate, Tommaso Bonafini and Pierpaolo Ferrari
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achie...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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