The Co-Movement of China and US Stock Indices: A Portfolio Diversification Analysis

• Main Authors: Abdullah, Ahmad Monir, Abdul Wahab, Hishamuddin, Mohammed Masih, Abul Mansur, Abdul Majid, Mariani, Wong, Wai-Yan
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia Press 2023
• Subjects: JZ International relations
• Online Access: https://repo.uum.edu.my/id/eprint/29731/1/JIS%2019%2001%202023%201-35.pdf; https://doi.org/10.32890/jis2023.19.1.1; https://repo.uum.edu.my/id/eprint/29731/; https://e-journal.uum.edu.my/index.php/jis/article/view/14450; https://doi.org/10.32890/jis2023.19.1.1

The aim of this article is to find diversification opportunities by examining the time-varying and time-scale-based volatility and correlation of the US and Chinese stock market indices with crude oil, gold and Bitcoin price returns, as well as the exchange rate of the Chinese Yuan Renminbi agains...