Browsing by Subject "Commodity futures"

Now showing 1 - 4 of 4

Open Access
Energy, precious metals, and GCC stock markets: Is there any risk spillover?
(Elsevier, 2019) Al-Yahyaee, K.; Mensi, W.; Şensoy, Ahmet; Kang, S.
We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover index of Diebold and Yilmaz (2012), we show the existence of significant return and risk spillovers between the commodities and the GCC stock markets, particularly during the onset of the 2008–2009 global financial crisis. In addition, silver, platinum, and energy futures markets are net transmitter of returns to stock markets. Precious metals (except silver) and WTI oil are net transmitter of risk to GCC markets. Abdu Dhabi and Dubai are net transmitter of returns and risk to other markets. Moreover, portfolio management analysis shows that the mix of commodities and GCC equities provides diversification opportunities for different crisis periods. Finally, precious metal markets offer superior hedging effectiveness over energy markets for all GCC markets.
Embargo
Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
(2023-10-30) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.; Mahapatra, Biplab
We investigate the reactions of eight commodity futures to media hype and fake news during COVID-19, utilising the Ravenpack news database, along with deep learning algorithms. Results identify a significant impact on commodity prices of media hype and fake news, with this reaction amplified during COVID-19. Compared to alternative deep learning algorithms, bi-directional long-short-term memory is adaptive to forecasting the returns of the commodity futures contracts with lower mean absolute error and root mean square error. Findings, confirmed by Diebold-Mariano testing, as well as alternative data partitioning, show commodity markets are susceptible to fake news and media hype.
Open Access
On the role of commodity futures in portfolio diversification
(Wiley-Blackwell Publishing Ltd., 2021-10) Lean, H. H.; Nguyen, D. K.; Şensoy, Ahmet; Uddin, G. S.
The last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.
Open Access
On the role of commodity futures in portfolio diversification
(John Wiley and Sons Inc, 2021-09-20) Lean, H. H.; Nguyen, D. K.; Şensoy, Ahmet; Uddin, G. S.
The last two decades have witnessed major financial crises that led investors to seek alternative assets and investment strategies to reduce their portfolio risk. In this article, we provide information on the role of commodity futures in designing portfolios and managing risk based on an appealing operational framework. Using more than 20 years of sample data, we first investigate the conditional mean and volatility dynamics of equity and commodity futures markets within a dynamic conditional correlation model setup. We then form alternative equity-commodity futures portfolios by changing the weights of commodity futures and examine if the diversified commodity-equity portfolios perform superior to the all-equity portfolios and four well-known investment strategies that suit most practitioners. Stochastic dominance approach shows that including commodity futures in diversified portfolios does not always improve the risk-return performance, except for gold in some particular portfolio setups. Accordingly, commodity assets have behaved like financial assets (stocks) and tend to be driven by the same pricing factors in general, which reduces the benefits of diversification.