Analysis of the Idiosyncratic Risk Characteristics from Commodity Markets
Journal of Accounting, Finance & Management Strategy
; 17(1):53-89, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1904799
ABSTRACT
The main purpose of this study is to explore the commodity characteristics of crude oil market and gold market, and use CBP-GARCH model to capture whether there is instantaneous co-jump variation between the two markets when unexpected information occurs. The empirical results show that there is a phenomenon of volatility clustering between commodity markets. When the interest rate spread of stock market and long-term and short-term bonds expands, it has a significant impact on gold, but not in crude oil commodities, showing that there are different linkage between commodity market and financial market. In addition, when there is a transmission of market information, the jump intensity of crude oil will be higher than that of gold market, and there are instantaneous co-jump variation characteristics. This phenomenon can be attributed to the fact that the crude oil market is affected by market supply and demand, and the gold market plays a mixed characteristic of hedging and investment. Therefore, the empirical results of this study also suggest that investors should consider the asymmetric jump fluctuation variation between commodity markets when the market unexpected information is generated, so as to effectively control the risk degree in the portfolio.
Business And Economics--Banking And Finance; Strategic materials; Hedging; Investments; Foreign exchange rates; Gold markets; Crude oil prices; Securities markets; Volatility; Commodities; War; Trade disputes; Stochastic models; Supply & demand; Interest rates; Coronaviruses; COVID-19; Crude oil; Disease transmission; United States--US; China; Iraq
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Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Journal of Accounting, Finance & Management Strategy
Year:
2022
Document Type:
Article
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