dc.contributor.author |
Babalos, Vassilios
|
|
dc.contributor.author |
Stavroyiannis, Stavros
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2015-11-26T08:50:21Z |
|
dc.date.issued |
2015-12 |
|
dc.description.abstract |
Commodities markets due to their unique characteristics as diversification tools have
recently garnered investors’ attention especially through the development of
commodity index financial products. This financialization process that started in the
early 2000s and escalated after 2004 has precipitated price comovements among
various types of commodities creating a proper setting for the examination of herding
behavior. Employing a comprehensive dataset of investable commodities indices we
examine the existence of herding behavior via static and time varying models. Our
findings reveal a non significant anti herding behavior according to static model that
is reversed when time varying models are in place. In particular the rolling window
analysis reveals interesting patterns of the herding phenomenon. These behavioral
patterns are corroborated through a time varying stochastic volatility model. Our
results contain significant implications for investors, commodities producers and
policy makers. |
en_ZA |
dc.description.embargo |
2016-12-31 |
|
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/resourpol |
en_ZA |
dc.identifier.citation |
Babalos, V, Stavroyiannis, S & Gupta, R 2015, 'Do commodity investors herd? Evidence from a time-varying stochastic volatility model', Resources Policy, vol. 46, part 2, pp. 281-287. |
en_ZA |
dc.identifier.issn |
0301-4207 (print) |
|
dc.identifier.issn |
1873-7641 (online) |
|
dc.identifier.other |
10.1016/j.resourpol.2015.10.011 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/50931 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Resources Policy, vol. 46, part 2, pp. 281-287, 2015. doi : 10.1016/j.resourpol.2015.10.011. |
en_ZA |
dc.subject |
Commodities |
en_ZA |
dc.subject |
Herding |
en_ZA |
dc.subject |
Time varying stochastic volatility |
en_ZA |
dc.title |
Do commodity investors herd? Evidence from a time-varying stochastic volatility model |
en_ZA |
dc.type |
Postprint Article |
en_ZA |