Journal
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
Volume 41, Issue -, Pages 30-46Publisher
ELSEVIER
DOI: 10.1016/j.intfin.2015.12.003
Keywords
Causality; Multiscale analysis; Commodity markets; Co-movement; Diversification
Categories
Funding
- Marie Curie Fellowship under 7th European Community Framework Programme [FP7-PEOPLE-2011-CIG, No 303854]
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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. (C) 2015 Elsevier B.V. All rights reserved.
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