摘要
Abstract
This article classifies 9 kinds of commodity futures into 4 categories,i.e.agricultures,energy,industrial products and precious metal,to roundly inspect their respective correlations with Shanghai Composite (Equities) and Shanghai T-Bond(Bonds),based on the emerging Chinese commodity futures markets using DCC-GARCH and Mean-Variance Theory.On the contrary to general international empirical analysis,Chinese commodity futures have relatively positive correlations with Chinese equities,indicating the fact we could diversify equity risks by shorting some kinds of commodity futures.Its conclusion suggests cotton and fuel make a difference in diversifying equities risk while any kind of commodity could effectively diversify among bond assets.For those investing in both equities and bonds,they should avoid allocating aluminum or coke,at least in the current period.In summary,this article provides a relatively practical methodology and conclusion for Chinese markets participants.关键词
商品期货/投资组合/均值-方差/DCC-GARCH模型/动态相关性/分散化Key words
managed futures/investment portfolio/Mean-Variance/DCC-GARCH/dynamic correlation/diversification分类
管理科学
