The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other...

This paper investigates returns and volatility transmission between SPGCE (index of clean energy stocks), SPGO (index of oil and gas stocks), two non-renewable energy commodities (natural gas and crude oil), and three products of crude oil distillation (heating oil, gasoline, and propane). We...

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

We investigate the dynamic correlation between oil, gold and commodity currencies and suggest optimal hedging strategies for participants in these markets. Over the past few years, commodity prices have fluctuated significantly and exhibited high volatility. Although there are a number of...

The specter of rising interest rates in the US has caused many to consider the impact this will have on the traditional “anchor” to the portfolio: US Treasury bonds. From a mathematical point of view, rising interest rates unambiguously reduce the value of long duration bond holdings,...