The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis
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| dc.contributor.author | Antonakakis, Nikolaos
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| dc.contributor.author | Chang, Tsangyao
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| dc.contributor.author | Cunado, Juncal
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| dc.contributor.author | Gupta, Rangan
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| dc.date.accessioned | 2019-04-16T05:45:11Z | |
| dc.date.available | 2019-04-16T05:45:11Z | |
| dc.date.issued | 2018-03 | |
| dc.description.abstract | This paper examines the causal relationship between commodities funds and returns using monthly data for the period May 1997–August 2015. Given the strong evidence of nonlinearity and structural breaks, we use wavelets to analyse causality between the two variables at both time and frequency domains. Wavelet coherency reveals that these two variables are primarily positively related in the short-run and over the period of 2008–2015. When we investigate the phase differences over this period, we observe that returns have predicted flows over the period of 2008–2012, with causality running in the other direction thereafter. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_ZA |
| dc.identifier.citation | Antonakakis, N., Chang, T., Cunado, J. et al. 2018, 'The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis', Finance Research Letters, vol. 24, pp. 1-9. | en_ZA |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2017.03.005 | |
| dc.identifier.uri | http://hdl.handle.net/2263/68981 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2017 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. 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. A definitive version was subsequently published in Finance Research Letters, vol. 24, pp. 1-9, 2018. doi : 10.1016/j.frl.2017.03.005. | en_ZA |
| dc.subject | Wavelet | en_ZA |
| dc.subject | Nonlinearity | en_ZA |
| dc.subject | Granger causality | en_ZA |
| dc.subject | Commodity returns | en_ZA |
| dc.subject | Commodity flows | en_ZA |
| dc.subject | Frequency domain | en_ZA |
| dc.subject | Time domain | en_ZA |
| dc.title | The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis | en_ZA |
| dc.type | Postprint Article | en_ZA |
