نوسانات مدلسازی و همبستگی بین قیمت بازار سهام در حال ظهور و قیمت مس، روغن و گندم
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|45576||2014||10 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Energy Economics, Volume 43, May 2014, Pages 72–81
Increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios. This paper uses VARMA-AGARCH and DCC-AGARCH models to model volatilities and conditional correlations between emerging market stock prices, copper prices, oil prices and wheat prices. The dynamic conditional correlation model is found to fit the data the best and used to generate dynamic conditional correlations, hedge ratios and optimal portfolio weights. Emerging market stock prices and oil prices display leverage effects where negative residuals tend to increase the variance (conditional volatility) more than positive ones. Correlations between these assets increased considerably after 2008, and have yet to return to their pre 2008 values. On average, oil provides the cheapest hedge for emerging market stock prices while copper is the most expensive but given the variability in the hedge ratios, one should probably not put too much emphasis on average hedge ratios.