Record Details

Portfolio Diversification with Commodities in Times of Financialization

International Journal of Finance & Banking Studies

View Archive Info
 
 
Field Value
 
Title Portfolio Diversification with Commodities in Times of Financialization
 
Creator Zaremba, Adam; Poznan University of Economics
 
Subject Finance, Investments
commodities, commodity futures, financialization, mean-variance spanning test, strategic asset allocation
 
Description The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments for investors in financial markets. The paper is composed of several parts. First, the attributes of commodity investments and their benefits in the portfolio optimization are explored. Second, the phenomenon of the financialization is described and the research hypothesis is developed. Next, an empirical analysis is performed. I simulate the mean-variance spanning tests to examine the benefits of commodity investments before and after accounting for the impact of financialization. I proceed separate analysis for pre- and post-financialization period. The empirical research is based on asset classes’ returns and other related variables from years 1991-2012. The performed investigations indicate that the market financialization may have significant implications for commodity investors. Due to increase in correlation coefficients, the inclusion of the commodity futures in the traditional stock-bond portfolio appears to be no longer reasonable.
 
Publisher SSBFNET
 
Contributor —
 
Date 2015-03-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/388
 
Source International Journal of Finance & Banking Studies (ISSN: 2147- 4486); Vol 4, No 1 (2015): JANUARY; 18-36
2147-4486
 
Language eng
 
Relation http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/388/280