On the time scale behavior of equity-commodity links: Implications for portfolio management

Stelios Bekiros, Duc Khuong Nguyen, Gazi Uddin and Bo Sjö

Journal of International Financial Markets, Institutions and Money, 2016, vol. 41, issue C, 30-46

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.

Keywords: Causality; Multiscale analysis; Commodity markets; Co-movement; Diversification (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46

DOI: 10.1016/j.intfin.2015.12.003

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