On the usefulness of dynamically spilled risk: An optimal portfolio allocation based on cross-sector information contagion

It is well known that the volatility spillover increases when a large economic shock occurs, and then pattern in market changes. Accordingly, many papers note clarifying time-varying of transmission domestic international markets useful for investors policymakers. This paper focuses on information contagion across various industrial sectors, investigates portfolio strategies based spillovers, aims to clarify whether an investment strategy spillovers benefits investors. Regarding reallocation, as soon we observe increase or decrease effect/timing spillover, obtain smaller number reallocations more informative portfolio. Our results compare our proposed method with periodic portfolios, example, daily annually, showing has larger returns greater Sharpe ratio than others.