首页    期刊浏览 2022年05月29日 星期日
登录注册

文章基本信息

  • 标题:Commodity Market Heterogeneity and Cross-Market Integration
  • 本地全文:下载
  • 作者:Michael Kunkler
  • 期刊名称:Applied Finance Letters
  • 印刷版ISSN:2253-5799
  • 电子版ISSN:2253-5802
  • 出版年度:2018
  • 卷号:6
  • 期号:1
  • 页码:16-27
  • DOI:10.24135/afl.v6i01.61
  • 出版社:Tuwhera Open Access Publisher
  • 摘要:We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor for the FX market; and -27.8% with an interest-rate level risk factor for the US interest rate market. Thus, a part of the systematic variation in the commodity market is integrated with other asset classes.
  • 关键词:Commodity Market; Cross-Market Integration
国家哲学社会科学文献中心版权所有