Skip to main content
Financial Innovation

Table 6 Long-term regression results: blue-red international portfolios

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

 

\({P}_{j,S1r-i}\)

SP500

Brent oil

 

\({P}_{j,S1r-i}\)

SP500

Brent oil

Panel 1: LA

Panel 3: MENA

Blue portfolio

− 0.0128*

(0.0117)

0.0011*

(0.0001)

0.0126*

(0.0002)

Blue portfolio

− 0.0252*

(0.0080)

0.0031

(0.0030)

0.0275*

(0.0011)

Purple portfolio

0.6562

(0.0209)

0.0009*

(0.0001)

0.0058*

(0.0004)

Purple portfolio

0.3228*

(0.0045)

0.0548*

(0.0019)

0.1503*

(0.0035)

Green portfolio

0.5611*

(0.0078)

0.0007*

(0.0001)

0.0077*

(0.0002)

Green portfolio

0.5234*

(0.0045*)

− 0.2264*

(0.0118)

0.1091*

(0.0037)

Red portfolio

0.7874*

(0.0043)

0.0001*

(0.0000)

0.0034*

(0.0001)

Red portfolio

0.6546*

(0.0026)

0.2437*

(0.0062)

0.1148*

(0.0021)

Panel 2: ASIA

Panel 4: CEE

Blue portfolio

− 0.2277*

(0.0053)

1.2074*

(0.0125)

0.1126*

(0.0033)

Blue portfolio

− 0.0729*

(0.0061)

0.8954*

(0.0140)

0.2636*

(0.0050)

Purple portfolio

0.4143*

(0.0088)

1.2269*

(0.0163)

0.0828*

(0.0060)

Purple portfolio

0.4724*

(0.0087)

0.1929*

(0.0173)

0.1229*

(0.0061)

Green portfolio

0.4383*

(0.0057)

1.0317*

(0.0120)

0.0857*

(0.0041)

-Green portfolio

0.4560*

(0.0060)

0.6143*

(0.0157)

0.1883*

(0.0053)

Red portfolio

0.6727*

(0.0026)

0.8104*

(0.0066)

0.0671*

(0.0021)

Red portfolio

0.6543*

(0.0021)

0.4390*

(0.0051)

0.1090*

(0.0017)

  1. This table presents a long-term relationship for the four emerging market groups, relating to model (3): \({P}_{it}={\delta }_{1i}+ {\theta }_{1i}{P}_{j,S1r-i,t}+ {\theta }_{2i}{S\&P500}_{it}+{\theta }_{4i}{Brent}_{it}+{\mu }_{it}\). The dependent variable, \({\Delta P}_{i,r}\), is a vector of returns of emerging markets, i, in region r. \({\Delta P}_{j,1r-i}\) is a vector of returns of j markets in Blue-Red portfolios, excluding i. Blue portfolio captures correlation between (i) and (j) markets of 0.2 or lower; Purple portfolio captures correlation between 0.2 and 0.3; Green portfolio covers correlation between 0.4 and 0.5; the Red portfolio stock consists of correlations of 0.6 or more. \({Brent}_{it}\) is Brent oil price series; and \({S\&P500}_{it}\) is the price index of the US market. For results relating to models (1–2 and 4–5) refer to Additional file 1: Tables S6-1 to S6-4. Values in parenthesis are standard errors. * denotes level of significance at 5% or better
Back to article page