---
title: Spillovers of Return and Volatility in Stock Portfolios by Size
url: https://www.ml-quant.com/papers/repec/gam-jijfss-v-11-y-2023-i-3-p-113-d-1238462/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:gam:jijfss:v:11:y:2023:i:3:p:113-:d:1238462
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7072%2F11%2F3%2F113%2Fpdf%3Bh%3Drepec%3Agam%3Ajijfss%3Av%3A11%3Ay%3A2023%3Ai%3A3%3Ap%3A113-%3Ad%3A1238462
featured: 2023-09-21
citations: unknown
topic: Derivatives & Volatility
---


# Spillovers of Return and Volatility in Stock Portfolios by Size

The study suggests that restricting fund managers to specific size categories could lead to suboptimal performance, based on an analysis of return and volatility spillovers among Saudi indices.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7072%2F11%2F3%2F113%2Fpdf%3Bh%3Drepec%3Agam%3Ajijfss%3Av%3A11%3Ay%3A2023%3Ai%3A3%3Ap%3A113-%3Ad%3A1238462
- Identifier: RePEc:gam:jijfss:v:11:y:2023:i:3:p:113-:d:1238462
- Released: 2023-09-21
- First featured: Quant Letter No. 16 (2023-09-21): https://www.ml-quant.com/issues/2023-09-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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