Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - Institut de Préparation à l'Administration et à la … - 2014
In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and … the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula … correlations between these markets, suggesting that commodity futures are a desirable asset class for portfolio diversification. By …