The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

Reference : The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks


	Document type :	Scientific journals : Article
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/7954

Title :	The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
Language :	English
Author, co-author :	Gao, Lin [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
	Liu, Lu [Lund University]
Publication date :	2014
Journal title :	Journal of Futures Markets
Publisher :	John Wiley & Sons, Inc. - Business
Volume :	34
Issue/season :	1
Pages :	93-101
Peer reviewed :	Yes (verified by ORBi^lu)
Audience :	International
ISSN :	0270-7314
City :	Hoboken
Country :	NJ
Keywords :	[en] commodity futures ; volatility ; regime switching
Abstract :	[en] This study finds substantial risk diversification potential between certain com- modity groups and stocks by exploring the dependence between their patterns of regime switching. None of the commodity groups share a common volatility regime with stocks, nor are the regime-switching patterns of grains, industrials, metals, or softs, dependent on that of stocks. Simultaneous volatile regimes of commodity futures and stocks tend to be infrequent and short-lived. In addition, in spite of financial contagion, animal products, grains, and softs typically demon- strate very low correlations with stocks even in simultaneous volatile regimes.
Permalink :	http://hdl.handle.net/10993/7954

File(s) associated to this reference

Fulltext file(s):

	File	Commentary	Version	Size	Access
Open access	Commodity_futures_stocks_submission_final.pdf		Author preprint	126.56 kB	View/Open

All documents in ORBi^lu are protected by a user license.