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Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets
Energy Economics ( IF 12.8 ) Pub Date : 2021-11-14 , DOI: 10.1016/j.eneco.2021.105660
Artur Semeyutin 1 , Giray Gozgor 2 , Chi Keung Marco Lau 3 , Bing Xu 4
Affiliation  

Using one-minute oil, gold and copper futures price from September 27, 2009, to July 1, 2020, this paper examines the effects of systematic and idiosyncratic (market-specific risk) jumps on intraday correlations, portfolio allocation decisions, and diversification benefits. We identify that these commodities contain high proportions of market-specific price discontinuities, which do not translate into systematic jumps. Co-jumps in the same direction lead to higher correlations and imply reduction in diversification benefits, while co-jumps in the opposite direction reduce correlations and positively affect diversification, similar to the idiosyncratic jumps. The results also demonstrate that the risk-averse investor’s gold portfolio allocations are not affected by co-jumps and are free from the non-diversifiable risks in oil and copper markets. However, idiosyncratic jumps in oil and copper markets increase allocations to gold. In contrast, allocations to copper and oil are significantly affected by the systematic risks outlined in copper–gold and oil–gold pairs, pushing risk-averse investors to oil from copper–gold and copper from oil–gold systematic risks. Finally, diversification benefits from price discontinuities are overall positive and driven by the idiosyncratic jumps in oil and copper markets when the minimum variance portfolio allocations are used.



中文翻译:

异质跳跃和共同跳跃对石油、黄金和铜市场的影响

本文使用 2009 年 9 月 27 日至 2020 年 7 月 1 日的一分钟石油、黄金和铜期货价格,研究了系统性和特殊性(特定于市场的风险)跳涨对盘中相关性、投资组合配置决策和多元化收益的影响. 我们发现这些商品包含很大比例的市场特定价格不连续性,这不会转化为系统性跳跃。同方向的共同跳跃会导致更高的相关性并意味着多样化收益的减少,而相反方向的共同跳跃会降低相关性并对多样化产生积极影响,类似于异质跳跃。结果还表明,风险规避投资者的黄金投资组合配置不受联动影响,不受石油和铜市场不可分散风险的影响。然而,石油和铜市场的特殊上涨增加了对黄金的配置。相比之下,铜和石油的配置受到铜-黄金和石油-黄金对中概述的系统性风险的显着影响,促使规避风险的投资者从铜-金和石油-黄金系统性风险中转向石油。最后,当使用最小方差投资组合分配时,价格不连续性带来的多元化收益总体上是积极的,并受到石油和铜市场的特殊跳跃的驱动。

更新日期:2021-11-20
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