Just Accepted Manuscripts
Original Research Article

Dynamic Return Connectedness and Portfolio Implications in Eurozone Alcoholic Beverage Stocks

(Just Accepted)
  • Yakup ARI
Yakup ARI
Alanya Alaaddin Keykubat University
DOI: https://doi.org/10.36253/wep-20005

Published 2026-10-14

Keywords

  • Alcoholic beverage stocks,
  • Eurozone,
  • Financial connectedness,
  • Spillovers,
  • Portfolio optimization,
  • Hedging effectiveness,
  • Time-varying parameter vector autoregression
    • ...More
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How to Cite

ARI, Y. (2026). Dynamic Return Connectedness and Portfolio Implications in Eurozone Alcoholic Beverage Stocks. Wine Economics and Policy. https://doi.org/10.36253/wep-20005

Copyright (c) 2024 Yakup ARI

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

 

 

Abstract

This paper investigates dynamic return spillovers and portfolio implications for Eurozone alcoholic beverage companies’ stocks using a time-varying parameter vector autoregression connectedness framework. Static results indicate moderate average integration of the sector, with an average Total Connectedness Index of 32.37%, while directional measures reveal a clear core–periphery structure in which large multinational producers act as persistent net transmitters and smaller, more specialized firms are predominantly net receivers. Dynamic connectedness rises sharply during major stress episodes, particularly in March 2020 and early 2022. Robustness checks across alternative forecast horizons, lag orders, and forgetting factors preserve the main transmitter–receiver structure and the timing of the principal connectedness peaks. Portfolio comparisons show that the minimum-variance strategy provides the strongest full-sample risk performance, whereas the minimum-connectedness portfolio improves on the naive equal-weight benchmark in volatility and drawdown terms but does not outperform the conventional optimized strategies. Overall, the findings show that sectoral network position contains economically relevant information for understanding risk transmission and diversification among Eurozone alcoholic beverage equities.

(Just Accepted)

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