典型文献
Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications
文献摘要：
This paper investigates the time-frequency dependence,return and volatility connected-ness,dynamic linkages,and portfolio diversification gains among oil and China's sectoral commodities,namely,Petrochemicals(CIFI),Grains(CRFI),Energy(ENFI),Non-ferrous metals(NFFI),Oil&Fats(OOFI),and Softs(SOFI),utilizing a proposed research framework that contains the wavelet coher-ence,novel TVP-VAR based connectedness,and the cDCC-,DECO-FIAPARCH(1,d,1)model.The empirical results demonstrate that global oil market exhibits a relatively higher(lower)coherence with ENFI,NFFI,and OOFI(CRFI)on the long-term time horizon and the oil market leads China's sectoral commodities during most sample periods.The crude oil market transmits significant connectedness to China's sectoral commodities,especially the energy commodity sector(ENFI).The dynamic return and volatility total spillovers tend to intensify and exhibit significant fluctuations during the GFC and the oil price collapse.Further,the time-varying linkages among oil and China's sectoral commodities are positive and fluctuant,mainly at a relatively low level.The dynamic return and volatility connected-ness,multi-view linkages,optimal portfolio weights,and hedging ratios display significant time-varying features.The oil-commodity nexus offers diversification benefits and the optimal-weighted portfolio presents the best variance and downside risk reduction performance.Furthermore,risk management effectiveness is market-condition-dependent and heterogeneous across different commodity sectors and sub-samples.This paper can not only help investors and market regulators to capture the complex interconnectedness and risk transmission trajectory among oil and China's sectoral commodities but also benefits for investors and portfolio managers to construct optimal portfolios and hedging strategies.
文献关键词：
中图分类号：
作者姓名：
CUI Jinxin;ZOU Huiwen
作者机构：
School of Economics and Management,Fuzhou University,Fuzhou 350108,China;School of Economics and Management,Fuzhou University,Fuizhou 350108,China
文献出处：
引用格式：
[1]CUI Jinxin;ZOU Huiwen-.Coherence,Connectedness,Dynamic Linkages Among Oil and China's Sectoral Commodities with Portfolio Implications)[J].系统科学与复杂性学报（英文版）,2022(03):1052-1097
A类：
Sectoral,Commodities,Petrochemicals,CIFI,CRFI,NFFI,Fats,OOFI,Softs,SOFI,cDCC,DECO,FIAPARCH,downside
B类：
Coherence,Connectedness,Dynamic,Linkages,Among,Oil,China,Portfolio,Implications,This,paper,investigates,frequency,dependence,return,volatility,dynamic,linkages,diversification,gains,among,oil,sectoral,commodities,namely,Grains,Energy,ENFI,Non,ferrous,metals,utilizing,proposed,research,framework,that,contains,wavelet,novel,TVP,VAR,model,empirical,results,demonstrate,global,market,exhibits,relatively,higher,lower,coherence,long,term,horizon,leads,during,most,periods,crude,transmits,significant,especially,energy,commodity,total,spillovers,tend,intensify,fluctuations,GFC,price,collapse,varying,are,positive,fluctuant,mainly,level,multi,view,optimal,weights,hedging,ratios,display,features,nexus,offers,benefits,weighted,presents,best,variance,risk,reduction,performance,Furthermore,management,effectiveness,condition,dependent,heterogeneous,across,different,sectors,sub,samples,not,only,help,investors,regulators,capture,complex,interconnectedness,transmission,trajectory,but,also,managers,construct,portfolios,strategies
AB值：
0.474635
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