On the time scale behavior of equity-commodity links : implications for portfolio management
Title: On the time scale behavior of equity-commodity links : implications for portfolio management
Citation: Journal of international financial markets, institutions and money, 2016, OnlineFirst
ISSN: 1042-4431; 1873-0612
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.
Subject: Causality; Multiscale analysis; Commodity markets; Co-movement; Diversification
Available online: 29 December 2015
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