Analysis of the Idiosyncratic Risk Characteristics from Commodity Markets

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/125186

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题名:	Analysis of the Idiosyncratic Risk Characteristics from Commodity Markets
作者:	Chiu, Chien-liang
关键词:	CBP-GARCH model;Co-jump Variation;Volatility Clustering;Portfolio
日期:	2022-06-30
上传时间:	2024-03-08 12:05:18 (UTC+8)
摘要:	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.
關聯:	Journal of Accounting, Finance & Management Strategy 17(1),　p.53-89
显示于类别:	[財務金融學系暨研究所] 期刊論文

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