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首页> 外文期刊>International Journal of Management Practice >Portfolio co-integration dynamics of metal and energy commodities: evidence from India
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Portfolio co-integration dynamics of metal and energy commodities: evidence from India

机译：金属和能源商品的投资组合协整动态：来自印度的证据

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摘要

The present paper has bifocal objectives. First, the paper explores the time series dynamics of the industrial and precious metals commodities futures contract traded on the India's largest commodity exchange, Multi Commodity Exchange of India. Second, the paper focuses on the causality dynamics of industrial and precious metals. No such study has been undertaken on the Indian commodity bourses. In addition, it focuses on the existence of the long-term co-integration relationship - if any - between these specific categories of commodities. Amid sharp rises in both commodity prices and commodity investing, many commentators have wondered whether commodities nowadays move in sync with traditional asset classes like equity, gold, crude oil and Forex. The rationale behind diversification contends that a portfolio of different kinds of investments will, on average, yield higher returns and pose a lower risk than any individual investment found within the portfolio. The paper tries to identify the long run relation-ship of industrial and precious metais with its traditional investment counterparts like Crude Oil prices, USDINR exchange rates, and Nifty 50 index. For same, the paper has utilised advance Granger causality and Johansen co-integration tests. Our results imply that industrial and precious metals may not able to provide the benefits of diversification all the time.
机译：本文具有双焦点目标。首先，本文探讨了在印度最大的商品交易所印度多商品交易所上交易的工业和贵金属商品期货合约的时间序列动态。其次，本文着重于工业和贵金属的因果关系动态。尚未对印度商品交易所进行过此类研究。此外，它着重于这些特定种类的商品之间是否存在长期合作关系（如果有）。在大宗商品价格和大宗商品投资急剧上涨的背景下，许多评论家想知道当今的大宗商品是否与股票，黄金，原油和外汇等传统资产类别同步发展。多元化背后的基本原理认为，与投资组合内的任何单个投资相比，不同种类的投资组合平均而言将产生更高的回报，并且风险更低。本文试图确定工业和珍贵的metais与传统的投资对等物（如原油价格，USDINR汇率和Nifty 50指数）的长期关系。出于同样的原因，本文利用了先进的Granger因果关系和Johansen协整检验。我们的结果表明，工业和贵金属可能无法始终提供多样化的好处。

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