The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses. (1st January 2019)

• Record Type: Journal Article
• Authors: Jiang, Yonghong; Jiang, Cheng; Nie, He; Mo, Bin
• Is Part Of: Energy. Volume 166(2019)
• Page Start: 577
• Page End: 586
• Publication Date: 2019-01-01
• Subjects: Return -- Volatility -- Oil -- Commodity sectors -- DCC-GJR-GARCH -- Portfolio implications; G10 -- G11 -- G32; Power resources -- Periodicals; Power (Mechanics) -- Periodicals; Energy consumption -- Periodicals; 333.7905
• DOI: 10.1016/j.energy.2018.10.116
• Languages: English
• ISSNs: 0360-5442

Abstract

Abstract: We study the dynamic relationship between the global oil market and China's commodity market at the industry level by using a DCC-GJR-GARCH model. Results of this study reveal strong return spillovers and the long-term time-varying linkages in volatility between the global oil market and China's commodity sectors. We find evidence that the diversified portfolios can help us reduce risks effectively, and the performances of portfolio diversification strategies vary across different time periods. Our empirical results highlight that the oil-commodity sectors nexus can help investors minimize risks to build optimal portfolios. Highlights: The DCC is firstly used to study relation between oil market and China's commodity. We find the long-term relation between oil market and China's commodity sectors. The findings have implications on portfolio diversification.