کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963888 | 1479106 | 2016 | 17 صفحه PDF | دانلود رایگان |
• We investigate the time-scale relationships between US equity & commodity markets.
• The risk-return profitability analysis is based on the wavelet coherence measure.
• Both markets exhibit time-varying co-movement patterns across investment horizons.
• We find evidence of time-frequency causality between the two investigated markets.
• The results have implications for asset allocation & portfolio diversification.
We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying co-movement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.
Journal: Journal of International Financial Markets, Institutions and Money - Volume 41, March 2016, Pages 30–46