کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963888 1479106 2016 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the time scale behavior of equity-commodity links: Implications for portfolio management
ترجمه فارسی عنوان
درباره رفتار مقیاس زمان پیوندهای سهام کالا: پیامدها برای مدیریت نمونه کارها
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 41, March 2016, Pages 30–46
نویسندگان
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