Co-movements between financial and commodity markets

dc.contributor.authorPinho, Carlos
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2017-04-19T10:55:54Z
dc.date.available2017-04-19T10:55:54Z
dc.date.issued2017
dc.description.abstractIn this paper we aim to assess the dynamics of commodities ad stock markets at time-frequency domain. Our data set consists of monthly IMF commodity price indices and sub-indices, and the Morgan Stanley Capital International (MSCI) World Stock Index between January 1993 and March 2016. Among others, our results indicate a significant increase in synchronization of procyclical pattern, with periodicities of one to four years, during the recent subprime and financial crisis. The results presented in the paper could help investors to design investment strategies in commodity markets.pt_PT
dc.identifier.citationMaldonado, I., & Pinho, C. (2017). Co-movements between financial and commodity markets. Information and Communication Technologies - 6th International Virtual Conference 2017 (ICTIC 2017), Slovakia, 26-30 Mar.2017. Disponível no Repositório UPT, http://hdl.handle.net/11328/1836pt_PT
dc.identifier.issn1339-9144
dc.identifier.urihttp://hdl.handle.net/11328/1836
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.rightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectComovementspt_PT
dc.subjectWavelspt_PT
dc.subjectCommoditiespt_PT
dc.titleCo-movements between financial and commodity marketspt_PT
dc.typeconferenceObjectpt_PT
degois.publication.locationSlovakiapt_PT
degois.publication.title6th International Virtual Conference 2017 (ICTIC 2017)pt_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameMaldonado
person.givenNameIsabel
person.identifier.ciencia-id1D1D-3612-D593
person.identifier.orcid0000-0002-1292-6201
relation.isAuthorOfPublication1d5bf75b-f0ec-4431-aa1e-cfb8be344155
relation.isAuthorOfPublication.latestForDiscovery1d5bf75b-f0ec-4431-aa1e-cfb8be344155

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