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Table 5 Long-term regression results: yellow international portfolios

From: Is a correlation-based investment strategy beneficial for long-term international portfolio investors?

 

\({P}_{jt}\)

SP500

Brent oil

Sentiment

Dummy GFC

Dummy NGFC

Latin America

Model 1

0.0003

(0.0548)

–

–

–

–

–

Model 2

− 0.0213

(0.0570)

0.1719

(0.1243)

–

–

–

–

Model 3

− 0.0461

(0.0574)

0.1289

(0.1246)

− 0.2257

(0.2542)

–

–

–

Model 4

− 0.0211

(0.0570)

0.1693

(0.1243)

–

4.2674

(3.1271)

–

–

Model 5

− 0.0213

(0.0570)

–

–

–

0.1414

(0.1582)

0.1784

(0.1261)

Asia

Model 1

0.0067*

(0.0019)

–

–

–

–

–

Model 2

0.0052*

(0.0018)

0.7693*

(0.0217)

–

–

–

–

Model 3

0.0049*

(0.0019)

0.7662*

(0.0219)

0.2300*

(0.0454)

–

–

–

Model 4

0.0052*

(0.3288)

0.7694*

(0.0217)

− 0.1862

(0.5640)

–

–

–

Model 5

0.0052

(0.0018)

–

–

–

0.7650*

(0.0254)

0.7704*

(0.0220)

MENA

Model 1

0.0162*

(0.0005)

–

–

–

–

–

Model 2

0.0139*

(0.0005)

0.4010*

(0.0076)

–

–

–

–

Model 3

0.0135*

(0.0005)

0.3968*

(0.0077)

0.0868*

(0.0150)

–

–

–

Model 4

0.0139*

(0.0005)

0.4010*

(0.0076)

–

− 0.2373

(0.1961)

–

–

Model 5

0.0139*

(0.0005)

–

–

–

0.4359*

(0.0087)

0.3935*

(0.0077)

CEE

Model 1

0.0191*

(0.0042)

–

–

–

–

–

Model 2

0.0052

(0.0042)

2.9582*

(0.0755)

–

–

–

–

Model 3

0.0048

(0.0043)

2.9582*

(0.0768)

0.2373

(0.1724)

–

–

–

Model 4

0.0052*

(1.1755)

2.9589*

(0.0756)

–

− 1.4907

(1.9816)

–

–

Model 5

0.0052

(0.0042)

–

–

–

2.9405*

(0.0843)

2.9631*

(0.0762)

  1. This table presents a long-term relationship for the four emerging market groups, relating model (1): \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{P}_{jt}+{\mu }_{it}\);in model (2): \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{P}_{jt}+ {\theta }_{2i}{S\&P500}_{it}+{\mu }_{it}\) in model (3) as \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{\Delta P}_{j,r-i,t }+ {\theta }_{2i}{S\&P500}_{it}+{\theta }_{3i}{Brent}_{it}+{\mu }_{it}\); in model (4): \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{\Delta P}_{j,r-i,t }+ {\theta }_{2i}{S\&P500}_{it}{+ \theta }_{3i}{sentiments}_{it}+{\mu }_{it};\) and finally in model (5): \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{\Delta P}_{j,r-i,t }+ {\theta }_{2i}GFC*{S\&P500}_{it}+{\theta }_{3i}NGFC*{S\&P500}_{it}{+\mu }_{it}\). Here, \({P}_{it}\) is each of the six Latin American nations; \({\Delta P}_{j,r-i,t}\) is the yellow portfolio of MSCI of other corresponding correlated emerging and frontier countries of the Asian, Latin American, MENA and CEE markets with correlations between markets i and js of less than zero; \({S\&P500}_{it}\) is the price index to the US market, \({Brent}_{it}\) is international Brent oil price series and \({sentiments}_{it}\) is the global sentiment index represented by Baker and Wurgler (2006) sentiment index. * denotes level of significance at 5% or better
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