Assessing portfolio diversification with commodity futures and crude oil. essay
This study examines the impact of the global pandemic on the returns and volatility of China's commodity futures market from to. Our analysis shows that the regimes of futures returns in the general commodity, industrial and metals markets are positively correlated with the regimes of pandemic cases, while · Fund your trading account with the necessary capital: Create a well-thought-out trading strategy that matches your risk tolerance and financial goals: Once you have your plan in place, you can start trading commodity futures. Trading in commodities only takes place in futures and options. This paper examines the time-varying dependence dynamics between international commodity prices of Brent crude oil, natural gas, cocoa and Australia's sectoral stock returns using daily stock prices. The model features three different volatility structures, each of which can potentially assess the impact of long-term, medium-term and short-term variation respectively. Using an annual database of commodity futures prices, the model is estimated for six major commodities: gold, crude oil, natural gas, soybeans, sugar and corn. Resume. The results of this paper indicate that crude oil, natural gas, and unleaded gasoline futures fail to improve the performance of representative energy stocks in terms of return on risk, but do reduce the overall level of risk exposure of passive equity investors. Our findings suggest that futures contracts on energy commodities. 1 Introduction. The integration and portfolio diversification between Chinese and developed world stock markets represent a nuanced and complex relationship 1. This study specifically examines the links between China's stock markets and its major trading partners: Australia, Germany, Japan, the UK and the US. Analysis using a normal distribution from a bird's eye view. Measuring diversification effects in terms of distributions is a relative bird's eye view, that is, a point of view over a long term period where we can take into account the size of the portfolio price returns, and the distribution can maintain its shape, compared to dynamic, The diversification benefits of commodity futures are not significant at the percentage level in a low return situation, unless there is a risk-free rate. 1 or lower. In other words, commodity futures are generally not useful to our representative US investor when the stock market at home is bearish.