Co-movements in commodity markets and implications in diversification benefits
Co-movements in commodity markets and implications in diversification benefits
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DOI：
10.1007/s00181-018-1551-3
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发表时间：
2020-02-01
影响因子：
3.2
通讯作者：
Hamori, Shigeyuki
中科院分区：
文献类型：
--
作者：
Cai, Xiao Jing;Fang, Zheng;Hamori, Shigeyuki
本研究探讨原油、贵金属与农产品价格之间的协动与因果关系。我们使用了一种新的方法，称为小波相干分析，它允许在时间-频率空间的基础上的商品的每日价格的共同运动的测量。我们将1986年9月至2017年9月的数据分解为12个水平和5个子时期，以找到更普遍和令人信服的结果。我们确认，大宗商品价格是同相的，是联动的。特别是，在长期内的一致性是最大的，并在危机期间的中期急剧上升。箭头方向的不一致性提供了有力的证据，表明商品价格之间的因果关系因频率不同而随时间变化。我们发现，混合商品组合可以提供多样化的好处，在中期的视野。本研究的发现可以指导那些希望在投资商品市场的同时从多元化中获益的投资者。
This study examines the co-movement and causality relationship between prices of crude oil, precious metals, and agricultural commodities. We use a novel approach called wavelet coherence analysis, which allows the measurement of co-movements in the time-frequency space based on the daily prices of commodities. We decompose data from September 1986 to September 2017 into 12 levels and 5 subperiods to find more generalized and convincing results. We confirm that commodity prices are in-phase and co-move. Particularly, the coherence is the largest in the long term and rises sharply in the mid-term during the crisis period. The heterogeneous directions of arrows provide strong evidence that the causality relationship between commodity prices varies over time for different frequencies. We find that the mixed commodities portfolio can provide diversification benefits in the mid-term horizons. The findings of this study can guide investors who want to benefit from diversification while investing in commodity markets.