Quantile coherency across bonds, commodities, currencies, and equities

Gazi Salah Uddin, Brian Lucey, Md Lutfur Rahman and David Stenvall

Journal of Commodity Markets, 2024, vol. 33, issue C

Abstract: This paper examines quantile coherency in bonds, commodities, currencies, and equities using a novel quantile coherency approach. While recent literature has explored single-frequency tail- and time-frequency dependence in asset returns, we provide fresh evidence on asset return dependence across quantiles (proxying business cycles or market conditions) at different frequencies (representing investment horizons). Considering sixty-seven individual asset return series in four asset classes, we observe that low frequency (yearly) dependence is stronger in the bond, foreign exchange, and equity markets. Specifically, we find strong dependence between the German and French bond markets, heating oil and crude oil, gold and silver, British Pound, and Euro, French and German and Canadian and US equities. As we report asset return interdependence in different business cycles and at different time horizons, these results have important implications for portfolio allocation and investment strategy formulation.

Keywords: Quantile coherency; Bonds; Commodities; Currencies; Equities (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697

DOI: 10.1016/j.jcomm.2023.100379

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