کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063975 1476708 2016 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
ترجمه فارسی عنوان
در وابستگی پویا بین بازارهای سهام، آتی کالا و شاخص های عدم قطعیت اقتصادی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی


- We apply wavelet analysis to study dynamic dependence between US stocks and commodities.
- Based on decomposed time series we assess different dependence schemes between long-run and short-run trends.
- Stronger dependence between US stocks and commodities is present in the long run.
- Long-run trends between the assessed time series are not characterized by joint extreme movements.
- Dependence between long-run trends of US stocks and volatility indices indicates the existence of a leverage effect.

This paper provides a thorough analysis on multiscale dependence schemes between equity markets, commodity futures and uncertainty indexes. Based on decomposed return series, we provide an exhaustive survey on time varying dependence, before and after the outbreak of financial crisis.Although daily returns of equity markets and commodity futures are described by weak dependence, our results indicate a stronger dependence between the long-run trends of both asset classes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 56, May 2016, Pages 374-383
نویسندگان
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