Comovement between commodity sectors

被引：15

作者：

Cai, Guixin ^{[1
]}

Zhang, Hao ^{[2
]}

Chen, Ziyue ^{[3
]}

机构：

[1] China Citic Bank, Zhangzhou 363107, Peoples R China

[2] Zhangzhou City Coll, Zhangzhou 363000, Peoples R China

[3] Norwegian Univ Sci & Technol, NTNU, Dept Mfg & Civil Engn, N-2815 Gjovik, Norway

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 525卷

关键词：

Commodity; Comovement; Wavelet; Copula; GLOBAL OIL MARKET; CO-MOVEMENT; STOCK-MARKET; WAVELET; PRICES; VOLATILITY; LINKAGES; RETURNS; TRENDS; GROWTH;

D O I：

10.1016/j.physa.2019.04.116

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We aim to document the comovement between commodity sectors by using the three-dimensional continuous wavelet transform and copula method with the weekly dataset from January 1991 to December 2018. The dependence between commodity sectors varies across time and frequency. Precisely, Agriculture-Energy pair, Agriculture Industrial metals pair, Energy-Industrial metals and Industrial metals-Precious metals pair show quite similar pattern in the lead-lag relationship and the degree of comovement is quite strong. In addition, Energy-Livestock pair, Energy-Precious metals pair and Industrial-Livestock pair do not show obvious periodic characteristics, however, they present strong comovement in the long term. Furthermore, we find the evidence of the robust strong relationship in the Agriculture-Industrial metals pair and Industrial metals-Precious metals pair. Investors who aim to make good portfolio management and policymakers who want to make effective macroeconomic policy should take these conclusions into account. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：1247 / 1258

页数：12

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