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The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses

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  • Jiang, Yonghong
  • Jiang, Cheng
  • Nie, He
  • Mo, Bin

Abstract

We study the dynamic relationship between the global oil market and China's commodity market at the industry level by using a DCC-GJR-GARCH model. Results of this study reveal strong return spillovers and the long-term time-varying linkages in volatility between the global oil market and China's commodity sectors. We find evidence that the diversified portfolios can help us reduce risks effectively, and the performances of portfolio diversification strategies vary across different time periods. Our empirical results highlight that the oil-commodity sectors nexus can help investors minimize risks to build optimal portfolios.

Suggested Citation

  • Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.
    • Handle: RePEc:eee:energy:v:166:y:2019:i:c:p:577-586
    DOI: 10.1016/j.energy.2018.10.116
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    More about this item

    Keywords

    Return; Volatility; Oil; Commodity sectors; DCC-GJR-GARCH; Portfolio implications;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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