Date: 2016
Type: Article
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
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
Retrieved from Cadmus, EUI Research Repository
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.
Additional information:
Received 4 October 2014, Accepted 20 December 2015, Available online 29 December 2015
Cadmus permanent link: https://hdl.handle.net/1814/38625
Full-text via DOI: 10.1016/j.intfin.2015.12.003
ISSN: 1042-4431; 1873-0612
Publisher: Elsevier
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