 Exploring the role of crude oil futures in portfolio diversificationChing-Chi Hsu and Wei-Che Tsai Journal of Multinational Financial Management, 2025, vol. 79, issue C Abstract: This study explores the potential diversification benefits of including crude oil futures in global portfolios. For this purpose, we assess the relationship between crude oil futures and international stock markets across different timeframes using static network connectedness and wavelet coherency analyses. The results show that crude oil exerts a significant influence on stock markets, particularly over the 128–256 day horizon, with this effect intensifying during epidemic periods. Our wavelet-based covariance analysis guides the calculation of optimal portfolio weights, revealing that these strategies outperform equal-weighted portfolios over longer horizons. Furthermore, crude oil futures receive higher allocations during periods of low market interdependence, offering valuable insights for risk minimization and dynamic portfolio management. Keywords: Diversification efficiency; Crude oil futures; International stock markets; Wavelet method of covariance; Portfolio management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:79:y:2025:i:c:s1042444x25000210 DOI: 10.1016/j.mulfin.2025.100917 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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