Diversification In Crude Oil And Other Commodities: A Comparative Analysis
An understanding of how volatilities of and correlations between commodity returns change over time including their directions (positive or negative) and size (stronger or weaker) is of crucial importance for both the domestic and international investors with a view to diversifying their portfoli...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2016
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| Subjects: | |
| Online Access: | http://eprints.usm.my/37435/1/aamjaf120116_05.pdf |
| _version_ | 1825833660025143296 |
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| author | Abdullah, Ahmad Monir Mohammed Masih, Abul Mansur |
| author_facet | Abdullah, Ahmad Monir Mohammed Masih, Abul Mansur |
| author_sort | Abdullah, Ahmad Monir |
| collection | USM |
| description | An understanding of how volatilities of and correlations between commodity returns
change over time including their directions (positive or negative) and size (stronger or
weaker) is of crucial importance for both the domestic and international investors with a
view to diversifying their portfolios for hedging against unforeseen risks. This paper is an
humble attempt to add value to the existing literature by empirically testing the ‘timevarying’ and ‘scale dependent’ volatilities of and correlations of the sample commodities.
Particularly, by incorporating scale dependence, it is able to identify unique portfolio
diversification opportunities for different set of investors bearing different investment
horizons or holding periods. In order to address the research objectives, we have applied
the vector error-correction test and several recently introduced econometric techniques
such as the Maximum Overlap Discrete Wavelet Transform (MODWT), Continuous
Wavelet Transform (CWT) and Multivariate GARCH – Dynamic Conditional
Correlation. The data used in this paper is the daily data of seven commodities (crude oil,
gas, gold, silver, copper, soybean and corn) prices from 1 January 2007 until 31
December 2013. |
| first_indexed | 2024-03-06T15:11:07Z |
| format | Article |
| id | usm.eprints-37435 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:11:07Z |
| publishDate | 2016 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-374352017-11-15T07:26:19Z http://eprints.usm.my/37435/ Diversification In Crude Oil And Other Commodities: A Comparative Analysis Abdullah, Ahmad Monir Mohammed Masih, Abul Mansur HD28-70 Management. Industrial Management An understanding of how volatilities of and correlations between commodity returns change over time including their directions (positive or negative) and size (stronger or weaker) is of crucial importance for both the domestic and international investors with a view to diversifying their portfolios for hedging against unforeseen risks. This paper is an humble attempt to add value to the existing literature by empirically testing the ‘timevarying’ and ‘scale dependent’ volatilities of and correlations of the sample commodities. Particularly, by incorporating scale dependence, it is able to identify unique portfolio diversification opportunities for different set of investors bearing different investment horizons or holding periods. In order to address the research objectives, we have applied the vector error-correction test and several recently introduced econometric techniques such as the Maximum Overlap Discrete Wavelet Transform (MODWT), Continuous Wavelet Transform (CWT) and Multivariate GARCH – Dynamic Conditional Correlation. The data used in this paper is the daily data of seven commodities (crude oil, gas, gold, silver, copper, soybean and corn) prices from 1 January 2007 until 31 December 2013. Asian Academy of Management (AAM) 2016 Article PeerReviewed application/pdf en http://eprints.usm.my/37435/1/aamjaf120116_05.pdf Abdullah, Ahmad Monir and Mohammed Masih, Abul Mansur (2016) Diversification In Crude Oil And Other Commodities: A Comparative Analysis. Asian Academy of Management Journal of Accounting and Finance, 12 (1). pp. 1-28. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/12-1-5-2016.html |
| spellingShingle | HD28-70 Management. Industrial Management Abdullah, Ahmad Monir Mohammed Masih, Abul Mansur Diversification In Crude Oil And Other Commodities: A Comparative Analysis |
| title | Diversification In Crude Oil And Other
Commodities:
A Comparative Analysis |
| title_full | Diversification In Crude Oil And Other
Commodities:
A Comparative Analysis |
| title_fullStr | Diversification In Crude Oil And Other
Commodities:
A Comparative Analysis |
| title_full_unstemmed | Diversification In Crude Oil And Other
Commodities:
A Comparative Analysis |
| title_short | Diversification In Crude Oil And Other
Commodities:
A Comparative Analysis |
| title_sort | diversification in crude oil and other commodities a comparative analysis |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/37435/1/aamjaf120116_05.pdf |
| work_keys_str_mv | AT abdullahahmadmonir diversificationincrudeoilandothercommoditiesacomparativeanalysis AT mohammedmasihabulmansur diversificationincrudeoilandothercommoditiesacomparativeanalysis |