EconPapers    
Economics at your fingertips  
 

The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses

Yonghong Jiang, Cheng Jiang, He Nie and Bin Mo

Energy, 2019, vol. 166, issue C, 577-586

Abstract: We study the dynamic relationship between the global oil market and China's commodity market at the industry level by using a DCC-GJR-GARCH model. Results of this study reveal strong return spillovers and the long-term time-varying linkages in volatility between the global oil market and China's commodity sectors. We find evidence that the diversified portfolios can help us reduce risks effectively, and the performances of portfolio diversification strategies vary across different time periods. Our empirical results highlight that the oil-commodity sectors nexus can help investors minimize risks to build optimal portfolios.

Keywords: Return; Volatility; Oil; Commodity sectors; DCC-GJR-GARCH; Portfolio implications (search for similar items in EconPapers)
JEL-codes: G10 G11 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544218321066
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:166:y:2019:i:c:p:577-586

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-19
Handle: RePEc:eee:energy:v:166:y:2019:i:c:p:577-586