Diversification Benefits between Stock Returns from Ghana and Jamaica: Insights from Time-Frequency and VMD-Based Asymmetric Quantile-on-Quantile Analysis

Due to the susceptibility of assets dynamism in financial markets, emergence new asset classes induces empirical assessments their risk-reduction abilities. This issue is envisaged from perspective investment combinations that emerge market alliance between Ghana and Jamaica. study investigates heterogeneous asymmetric co-movements stock returns Jamaica with data 04 April 2011 17 March 2022. The wavelet analysis carried out, followed by causality quantiles quantile-on-quantile regression (QQR) decomposed return series using variational mode decomposition (VMD) approach. findings bi-wavelet divulge low connectedness cone influence coherence plot does not cover entire spectrum, particularly beyond annual scale. Hence, GSECI JSEIND a year may be less significant for portfolio management. Findings test evidenced bi-directional two markets. From VMD-based QQR analysis, it revealed are safe-havens, hedges, diversifiers each other. diversification prospects markets signal could facilitate inflow capital extended growth development overall economies. Policymakers regulators attract international investors promote flow funds economies through effective regulation Specific implications participants policymakers discussed.