On the time scale behavior of equity-commodity links: Implications for portfolio management
2016 (English)In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, 30-46 p.Article in journal (Refereed) Published
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 comovement 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.
Place, publisher, year, edition, pages
Elsevier, 2016. Vol. 41, 30-46 p.
Business Administration Economics
IdentifiersURN: urn:nbn:se:liu:diva-124590DOI: 10.1016/j.intfin.2015.12.003ISI: 000373611400003OAI: oai:DiVA.org:liu-124590DiVA: diva2:900935
Funding agencies: Marie Curie Fellowship under 7th European Community Framework Programme [FP7-PEOPLE-2011-CIG, No 303854]2016-02-052016-02-052016-05-03