کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087136 | 1478240 | 2017 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The long and short of commodity tails and their relationship to Asian equity markets
ترجمه فارسی عنوان
بلند و کوتاه از دم کالاها و رابطه آنها با بازار سهام آسیا
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We aim to determine if the relative tail risk of commodities remains consistent over time and whether there is association between commodity tail risk and Asian equity markets. We examine the tail risk of 24 commodities over a 12Â year period. Tail risk is measured using Conditional Value at Risk (CVaR), which measures volatility beyond a specified threshold. We classify tails for individual commodities as long and short based on their CVaR relative to the market. Overall, livestock commodities have the lowest CVaR risk, with some of the energy and metals commodities having the highest. However, the most interesting finding is that there is no consistency in relative tail risk rankings among commodities over time, and commodities having among the shortest tails in one period can have some of the longest in another period. Thus the relative tail risk of commodities changes significantly over time. We find that measured by CvaR, commodities generally have higher risk than Asian equities and that the relationship between equities and commodities is inconsistent in both strength and direction over time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 52, October 2017, Pages 32-44
Journal: Journal of Asian Economics - Volume 52, October 2017, Pages 32-44
نویسندگان
Robert J. Powell, Duc H. Vo, Thach N. Pham, Abhay K. Singh,