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dc.contributor.authorDemiralay, Sercan
dc.contributor.authorBayracı, Selçuk
dc.contributor.authorGencer, Hatice Gaye
dc.date.accessioned2023-11-29T15:39:54Z
dc.date.available2023-11-29T15:39:54Z
dc.date.issued2019en_US
dc.identifier.issn0377-7332
dc.identifier.issn1435-8921
dc.identifier.urihttps://hdl.handle.net/11363/6571
dc.description.abstractThis paper analyzes the conditional diversification benefits (CDBs) of commodity futures. We utilize three distinct classes of empirical models in order to explore the additional value of commodities in stock portfolios. Firstly, the dynamic equicorrelation model is conducted which allows us to compute the average conditional correlations for a large number of assets. Secondly, we employ the dynamic conditional correlation (DCC) technique to examine pairwise correlations between commodity futures and equity markets. Thirdly, using the time-varying correlations derived from the DCC model, we quantify the diversification benefits through time within the context of CDB measure. By constructing six hypothetical portfolios, our results point out that the portfolio consisting of the commodity futures and the emerging stock markets exhibits the lowest equicorrelation level. The cross-sectional differences in the bivariate correlations show that the energy and metal futures have the highest level of co-movements with the equities. Our findings also reveal that the inclusion of commodity futures into the emerging and developed market portfolios increases the diversification benefits although these benefits deteriorate negligibly in the episodes of financial turmoil. The futures that offer the highest diversification benefits are lean hogs, feeder cattle, natural gas, orange juice, and gold. Our empirical results provide significant insights for portfolio managers and global investors to assess the gains from investments in commodity futures.en_US
dc.language.isoengen_US
dc.publisherPHYSICA-VERLAG GMBH & CO, PO BOX 10 52 80, 69042 HEIDELBERG, GERMANYen_US
dc.relation.isversionof10.1007/s00181-018-1450-7en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCommodity futuresen_US
dc.subjectEquity marketsen_US
dc.subjectDynamic correlationsen_US
dc.subjectPortfolio diversificationen_US
dc.titleTime-varying diversification benefits of commodity futuresen_US
dc.typearticleen_US
dc.relation.ispartofEmpirical Economicsen_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.authoridhttps://orcid.org/0000-0003-2543-7914en_US
dc.authoridhttps://orcid.org/0000-0003-4831-4802en_US
dc.identifier.volume56en_US
dc.identifier.issue6en_US
dc.identifier.startpage1823en_US
dc.identifier.endpage1853en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.institutionauthorDemiralay, Sercan


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