On the time scale behavior of equity-commodity links : implications for portfolio management
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1042-4431; 1873-0612
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Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46
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BEKIROS, Stelios D., KHUONG NGUYEN, Duc, UDDIN, Gazi Salah, SJÖ, Bo, On the time scale behavior of equity-commodity links : implications for portfolio management, Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46 - https://hdl.handle.net/1814/38625
Abstract
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.
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Received 4 October 2014, Accepted 20 December 2015, Available online 29 December 2015