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dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorKHUONG NGUYEN, Duc
dc.contributor.authorUDDIN, Gazi Salah
dc.contributor.authorSJÖ, Bo
dc.date.accessioned2016-01-21T16:05:59Z
dc.date.available2016-01-21T16:05:59Z
dc.date.issued2016
dc.identifier.citationJournal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46en
dc.identifier.issn1042-4431
dc.identifier.issn1873-0612
dc.identifier.urihttps://hdl.handle.net/1814/38625
dc.descriptionReceived 4 October 2014, Accepted 20 December 2015, Available online 29 December 2015en
dc.description.abstractWe 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.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofJournal of international financial markets, institutions and moneyen
dc.subjectCausalityen
dc.subjectMultiscale analysisen
dc.subjectCommodity marketsen
dc.subjectCo-movementen
dc.subjectDiversificationen
dc.titleOn the time scale behavior of equity-commodity links : implications for portfolio managementen
dc.typeArticleen
dc.identifier.doi10.1016/j.intfin.2015.12.003
dc.identifier.volume41
dc.identifier.startpage30
dc.identifier.endpage46
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