Journal article
Dependence of stock and commodity futures markets in China: Implications for portfolio investment
Emerging markets review, v 21, pp 183-200
Dec 2014
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our results provide evidence of low and positive correlations between these markets, suggesting that commodity futures are a desirable asset class for portfolio diversification. By comparing the market risks of alternative portfolio strategies, we show that Chinese investors can take advantage of commodity futures during different times to realize risk diversification and downside risk reduction benefits.
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Details
- Title
- Dependence of stock and commodity futures markets in China: Implications for portfolio investment
- Creators
- Shawkat Hammoudeh - Drexel UniversityDuc Khuong Nguyen - IPAG Business SchoolJuan Carlos Reboredo - University of Santiago de CompostelaXiaoqian Wen - Drexel University
- Publication Details
- Emerging markets review, v 21, pp 183-200
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000347758800010
- Scopus ID
- 2-s2.0-84908500262
- Other Identifier
- 991019167840304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics