Causality across international equity and commodity markets: When asymmetry and nonlinearity matter

Two recent nonlinear causality tests are used to examine the causal linkages across increasingly important international equity and commodity markets. We show that nonlinear causality is more appealing when asymmetric patterns are accounted for. The results are crucial to hedging and portfolio diversification strategies.

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Year of publication:	2014-08-29
Authors:	Ajmi, Ahdi N. ; Hammoudeh, Shawkat ; Khalifa, Ahmed A. A. ; Nguyen, Duc K.
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	nonlinear causality \| Muslim markets \| Islamic indices \| commodities

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-546 10 pages
Classification:	c58 ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010891075