استخراج استراتژی های مدیریت پرتفوی از مدل انتقال نوسانات در محیط های رژیم در حال تغییر: شواهدی از بازارهای شورای همکاری خلیج فارس و جهانی

Unlike previous studies, this paper uses the Multi-Chain Markov Switching model (MCMS) to examine portfolio management strategies based on volatility transmission between six domestic stock markets of Gulf Arab states (GCC) and global markets (i.e., the U.S. S&P 500 index and oil prices) and compares the results with those of the VAR model. Our volatility approach is range-based and not return-based which is traditionally used in estimating the optimal hedge ratios and portfolio weights. The results demonstrate the relative hedging effectiveness of the MCMS model compared to the VAR. We also highlight the time and regime dependency of the optimal hedge ratios and the portfolio weights for each selected pair of the considered markets conditional on the regime of the same market and the regimes of the other market. Policy implications on portfolio strategies under different states are also discussed.