Should Investors Include Commodities in Their Portfolios After All? New Evidence

By Charoula Daskalaki, George Skiadopoulos. 2011

333 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a4e125825c007924a027ce0535b6e9575290830

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Citations in the corpus

Financialization in commodity markets: A passing trend or the new normal? (2015, background): “…to the stock market (Bessembinder, 1992; Bessembinder and Chan, 1992; Gorton and Rouwenhorst, 2006).3 Previous studies note that the behavior of commodities appears to have changed somewhere between 2004 and the 2007–2009 financial crisis (Tang and Xiong, 2012; Daskalaki and Skiadopoulos, 2011).”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “They offer different volatilities and returns of lower correlations with stocks, at both sector and market levels (Arouri and Nguyen, 2010; Daskalaki and Skiadopoulos, 2011; Arouri et al. 2010,2011,2012).”
Quantile dependence of oil price movements and stock returns (2016, background): “…was time-varying and nonlinear and could change to reflect specific events like the recent global financial crisis (see, e.g., Miller and Rati, 2009; Reboredo, 2010; Filips et al., 2011; Daskalaki and Skiadopoulos, 2011; Chang and Yu, 2013; Reboredo and Rivera-Castro, 2014; Zhang and Li, 2014).”
On the diversification benefits of commodities from the perspective of euro investors (2012, background): “Galvani and Plourde (2010) and Daskalaki and Skiadopoulos (2011) have so far been the sole researchers of the contribution of individual commodity futures under the regression approach. However, Galvani and Plourde (2010) perform their analysis in a different context, studying the diversification co”
Commodity and Equity Markets: Some Stylized Facts from a Copula Approach (2013, neutral): “However, more recently, Büyüksahin and Robe (2011), Daskalaki and Skiadopoulos (2011), Silvennoinen and Thorp (2010), and Tang and Xiong (2010), among others, have found evidence of integration among traditional and commodity markets.”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, background): “…precious metals including gold emerged as natural desirable asset classes eligible for portfolio diversification because they offer different volatilities and returns of lower correlations with stocks, at both sector and market levels (Arouri and Nguyen, 2010; Daskalaki and Skiadopoulos, 2011).”
Does gold offer a better protection against losses in sovereign debt bonds than other metals (2014, background): “…metals than other commodities (see Pindyck and Rotember, 1990; Pierdzioch et al., 2013 among others)2, 3 Consistent with the comovement evidence, Daskalaki and Skiadopoulos (2011) show that the returns on major precious metals, including gold, silver, platinum and palladium, exhibit low…”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, methodology): “To analyse the benefits of Bitcoin, we take the perspective of a U.S. investor holding a portfolio consisting of stocks and bonds as in Daskalaki and Skiadopoulos (2011).”
Is it risky to go green? A volatility analysis of the green bond market (2016, methodology): “Sampling period: Daily 4/30/2010–4/29/2015. investment-grade bonds have been used in previous studies as a benchmark for the overall bond market (e.g. Daskalaki and Skiadopoulos 2011; Case, Yang, and Yildirim 2012).”