Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500
作者： M.Fatih Oztek , Nadir Ocal
DOI:
关键词:
摘要: This paper tests and models time varying correlations among agricultural commodity, precious metal S&P500 indices to uncover whether rising trend these markets is a result of financialization commodity and/or financial crisis. We particularly investigate the roles market news, global volatility on nature dynamics correlation. Empirical results show that high during crisis main source correlation index with index, plays crucial role in between S&P500, possibly due increasing engagement investors Hence, heterogeneous structure delivers better portfolio diversification opportunities calm periods compared turmoil
参考文章(19)
Robert Engle, Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models Journal of Business & Economic Statistics. ,vol. 20, pp. 339- 350 ,(2002) , 10.1198/073500102288618487
Geetesh Bhardwaj, Adam Dunsby, The Business Cycle and the Correlation Between Stocks and Commodities SSRN Electronic Journal. ,(2013) , 10.2139/SSRN.2005788
Nadir �cal, Denise R. Osborn, Business cycle non-linearities in UK consumption and production Journal of Applied Econometrics. ,vol. 15, pp. 27- 43 ,(2000) , 10.1002/(SICI)1099-1255(200001/02)15:1<27::AID-JAE552>3.0.CO;2-F
David Hillier, Paul Draper, Robert Faff, Do Precious Metals Shine? An Investment Perspective Financial Analysts Journal. ,vol. 62, pp. 98- 106 ,(2006) , 10.2469/FAJ.V62.N2.4085
Tim Bollerslev, Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. The Review of Economics and Statistics. ,vol. 72, pp. 498- 506 ,(1990) , 10.2307/2109358
Georgi Georgiev, Benefits of Commodity Investment The Journal of Alternative Investments. ,vol. 4, pp. 40- 48 ,(2001) , 10.3905/JAI.2001.318997
Annastiina Silvennoinen, Timo Teräsvirta, Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations Research Papers in Economics. ,(2005)
Ke Tang, Wei Xiong, Index Investment and the Financialization of Commodities Financial Analysts Journal. ,(2012) , 10.2469/FAJ.V68.N6.5
Bahattin Buyuksahin, Michel A. Robe, Speculators, Commodities and Cross-Market Linkages Social Science Research Network. ,(2012) , 10.2139/SSRN.1707103
Robert J. Greer, The Nature of Commodity Index Returns The Journal of Alternative Investments. ,vol. 3, pp. 45- 52 ,(2000) , 10.3905/JAI.2000.318924