Commodity Futures Indices and Traditional Asset Markets in I (Record no. 42170)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01725nab a22001697a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160615b2014 xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Lagesh, M A |
| 245 ## - TITLE STATEMENT | |
| Title | Commodity Futures Indices and Traditional Asset Markets in I |
| Statement of responsibility, etc. | DCC Evidence for Portfolio Diversification Benefits / Lages |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2014 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 777 - 793 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This article investigates the potential for portfolio diversification benefits of commodity futures in the Indian context. For this purpose, we have estimated dynamic conditional correlations (DCC) between returns of four commodity futures indices and traditional asset class indices such as stock index, long-term bond index and Treasury bill index, separately for the pre-crisis and crisis period using the DCC-GARCH model and daily data ranging from June 2005 to September 2011. Empirical results reveal that there exist very low dynamic conditional correlations between commodity futures indices returns and traditional asset indices returns, an evidence illustrating the potential for portfolio diversification benefits of commodity futures. Commodity futures become more segmented from the traditional asset market; thus they can be effectively used for strategic asset allocation. Further, the conditional correlation between agriculture commodity future returns with long-run and short-run bond returns declined during the crisis period. Similarly, the conditional correlations of commodity futures indices returns (agriculture, energy and metal) with the stock index declined in periods... |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Dcc-Garch Model |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Correlation |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Traditional Assets |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Commodity Futures Indices |
| 773 ## - HOST ITEM ENTRY | |
| Main entry heading | Global Business Review |
| Place, publisher, and date of publication | December |
| Withdrawn status | Lost status | Damaged status | Not for loan | Permanent Location | Current Location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
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| Ahmedabad (HO) | Ahmedabad (HO) | 21/06/2016 | Vol. 15, Issue. 4 | 018637 | 21/06/2016 | 21/06/2016 | Articles |