| dc.contributor.author | BEKIROS, Stelios D. | |
| dc.contributor.author | KHUONG NGUYEN, Duc | |
| dc.contributor.author | UDDIN, Gazi Salah | |
| dc.contributor.author | SJÖ, Bo | |
| dc.date.accessioned | 2016-01-21T16:05:59Z | |
| dc.date.available | 2016-01-21T16:05:59Z | |
| dc.date.issued | 2016 | |
| dc.identifier.citation | Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46 | en |
| dc.identifier.issn | 1042-4431 | |
| dc.identifier.issn | 1873-0612 | |
| dc.identifier.uri | https://hdl.handle.net/1814/38625 | |
| dc.description | Received 4 October 2014, Accepted 20 December 2015, Available online 29 December 2015 | en |
| dc.description.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. | en |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Journal of international financial markets, institutions and money | en |
| dc.subject | Causality | en |
| dc.subject | Multiscale analysis | en |
| dc.subject | Commodity markets | en |
| dc.subject | Co-movement | en |
| dc.subject | Diversification | en |
| dc.title | On the time scale behavior of equity-commodity links : implications for portfolio management | en |
| dc.type | Article | en |
| dc.identifier.doi | 10.1016/j.intfin.2015.12.003 | |
| dc.identifier.volume | 41 | |
| dc.identifier.startpage | 30 | |
| dc.identifier.endpage | 46 | |
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