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On the time scale behavior of equity-commodity links: Implications for portfolio management

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  • Bekiros, Stelios
  • Nguyen, Duc Khuong
  • Uddin, Gazi Salah
  • Sjö, Bo

Abstract

We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying co-movement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.

Suggested Citation

  • Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
    • Handle: RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46
    DOI: 10.1016/j.intfin.2015.12.003
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