Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio
Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach ten...
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-03-01
|
Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/5/504 |
id |
doaj-7821754c5166402f99f6a739dfdaf0db |
---|---|
record_format |
Article |
spelling |
doaj-7821754c5166402f99f6a739dfdaf0db2021-03-02T00:01:53ZengMDPI AGMathematics2227-73902021-03-01950450410.3390/math9050504Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR RatioMarcos Albuquerque Junior0José António Filipe1Paulo de Melo Jorge Neto2Cristiano da Costa da Silva3Iscte-Instituto Universitário de Lisboa, 1649-026 Lisboa, PortugalDepartamento de Matemática, Iscte-Instituto Universitário de Lisboa, ISTAR-Iscte, BRU-Iscte, 1649-026 Lisboa, PortugalCenter for Advanced Studies, Economics CAEN-UFC-Department of Economics, Federal University of Ceará, Fortaleza 60020-180, BrazilGraduate Program in Economics-EPP/UERN, Department of Economics, University of the State of Rio Grande do Norte, Mossoró 59610-210, BrazilDiversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles.https://www.mdpi.com/2227-7390/9/5/504waveletindustry factorscountry factorsvalue at riskco-movementscoherency |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Marcos Albuquerque Junior José António Filipe Paulo de Melo Jorge Neto Cristiano da Costa da Silva |
spellingShingle |
Marcos Albuquerque Junior José António Filipe Paulo de Melo Jorge Neto Cristiano da Costa da Silva Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio Mathematics wavelet industry factors country factors value at risk co-movements coherency |
author_facet |
Marcos Albuquerque Junior José António Filipe Paulo de Melo Jorge Neto Cristiano da Costa da Silva |
author_sort |
Marcos Albuquerque Junior |
title |
Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio |
title_short |
Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio |
title_full |
Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio |
title_fullStr |
Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio |
title_full_unstemmed |
Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio |
title_sort |
assessing the time-frequency co-movements among the five largest engineering consulting companies: a wavelet-base metrics of contagion and var ratio |
publisher |
MDPI AG |
series |
Mathematics |
issn |
2227-7390 |
publishDate |
2021-03-01 |
description |
Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles. |
topic |
wavelet industry factors country factors value at risk co-movements coherency |
url |
https://www.mdpi.com/2227-7390/9/5/504 |
work_keys_str_mv |
AT marcosalbuquerquejunior assessingthetimefrequencycomovementsamongthefivelargestengineeringconsultingcompaniesawaveletbasemetricsofcontagionandvarratio AT joseantoniofilipe assessingthetimefrequencycomovementsamongthefivelargestengineeringconsultingcompaniesawaveletbasemetricsofcontagionandvarratio AT paulodemelojorgeneto assessingthetimefrequencycomovementsamongthefivelargestengineeringconsultingcompaniesawaveletbasemetricsofcontagionandvarratio AT cristianodacostadasilva assessingthetimefrequencycomovementsamongthefivelargestengineeringconsultingcompaniesawaveletbasemetricsofcontagionandvarratio |
_version_ |
1724245572931551232 |