The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

dc.contributor.authorAntonakakis, Nikolaos
dc.contributor.authorChang, Tsangyao
dc.contributor.authorCunado, Juncal
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2019-04-16T05:45:11Z
dc.date.available2019-04-16T05:45:11Z
dc.date.issued2018-03
dc.description.abstractThis 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.departmentEconomicsen_ZA
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationAntonakakis, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2017.03.005
dc.identifier.urihttp://hdl.handle.net/2263/68981
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectWaveleten_ZA
dc.subjectNonlinearityen_ZA
dc.subjectGranger causalityen_ZA
dc.subjectCommodity returnsen_ZA
dc.subjectCommodity flowsen_ZA
dc.subjectFrequency domainen_ZA
dc.subjectTime domainen_ZA
dc.titleThe relationship between commodity markets and commodity mutual funds : a wavelet-based analysisen_ZA
dc.typePostprint Articleen_ZA

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