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首页> 外文期刊>Journal of banking & finance >Wti Crude Oil Futures In Portfolio Diversification: The Time-to-maturity Effect
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Wti Crude Oil Futures In Portfolio Diversification: The Time-to-maturity Effect

机译：投资组合多样化中的WTI原油期货：到期时间的影响

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The aim of the paper is to analyze the diversification effect brought by crude oil Futures contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have documented the very low- and essentially negative-correlations between commodities and equities typically rely on normally distributed returns, which is not the case for crude oil Futures and stocks indexes. Moreover, the particular time-to-maturity chosen for the Future contract used as an investment vehicle is an important matter that needs to be addressed, in presence of forward curves switching between backwardation and contango shapes. Our goal in this paper is twofold: (a) we introduce copula functions to have a better representation of the dependence structure of oil Futures with equity indexes; (b) using this copula representation, we are able to analyze in a precise manner the "maturity effect" in the choice of crude oil Future contract with respect to its diversification benefits. Our finding is that, in the case of distant maturities Futures, e.g., 18 months, the negative correlation effect is more pronounced whether stock prices increase or decrease. This property has the merit to avoid the hurdles of a frequent roll over while being quite desirable in the current trendless equity markets. Empirical evidence is exhibited on a database comprising the NYMEX WTI crude oil Futures and S&P 500 index over a 15 year-time period.
机译：本文的目的是分析原油期货合约（流动性最高的商品期货）对股票投资组合的多元化影响。记录了商品与股票之间的极低相关性（基本上为负相关性）的研究通常依赖于正态分布的收益，而原油期货和股票指数并非如此。此外，在前向曲线在向后形状和反正弦形状之间切换的情况下，为期货合约选择的特定到期时间（用作投资工具）是需要解决的重要问题。本文的目标是双重的：（a）引入copula函数以更好地表示具有股票指数的石油期货的依存结构； （b）使用这种copula表示，我们能够精确地分析原油期货合约选择中的“成熟度效应”及其多样化收益。我们的发现是，对于遥远的期货，例如18个月，无论股价上涨还是下跌，负相关效应都更加明显。该属性的优点是可以避免频繁翻滚的障碍，同时在当前不流行的股票市场中也很理想。在包含纽约商品交易所WTI原油期货和标普500指数的数据库中，在15年的时间里提供了经验证据。

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