| fullrecord |
[{"key": "dc.contributor.advisor", "value": "Junttila, Juha", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Pesonen, Juho", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2017-05-27T10:22:57Z", "language": "", "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2017-05-27T10:22:57Z", "language": "", "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2017", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.other", "value": "oai:jykdok.linneanet.fi:1702268", "language": null, "element": "identifier", "qualifier": "other", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/54127", "language": "", "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Omaisuusluokkien v\u00e4lisill\u00e4 korrelaatioilla on t\u00e4rke\u00e4 rooli sijoitussalkun hajautusta ajatellen. Omaisuuslajien suojauksen kannalta erityisen t\u00e4rke\u00e4\u00e4 on tutkia, miten eri omaisuusluokat korreloivat kriisiperiodien aikana. T\u00e4ss\u00e4 Pro-Gradu -tutkielmassa tarkastellaan osakemarkkinakriisien vaikutusta hy\u00f6dykefutuurien ja osakemarkkinatuottojen v\u00e4lisiin korrelaatioihin USA:n markkinoilla erityisesti raaka\u00f6ljyn ja kullan osalta. Korrelaatioiden mallintamisessa hy\u00f6dynnet\u00e4\u00e4n Cappiellon, Englen ja Sheppardin vuonna 2006 ehdottamaa yleistetty\u00e4 diagonaalimuotoista DCC GARCH -mallia. Tutkimuksessa verrataan ehdollisten korrelaatioiden kehityst\u00e4 erikseen USA:n osakemarkkinoiden yleisindeksin ja energiasektorin osakkeiden v\u00e4lill\u00e4. Lis\u00e4ksi tutkimuksessa tarkastellaan, onko kulta- ja \u00f6ljyfutuureja mielek\u00e4st\u00e4 k\u00e4ytt\u00e4\u00e4 suojausinstrumentteina osakemarkkinasijoitukseen liittyv\u00e4n riskin minimoimiseksi.\r\n\r\nEmpiirisen tutkimuksen tulokset osoittavat, ett\u00e4 korrelaatiot muuttuvat merkitt\u00e4v\u00e4sti osakemarkkinakriisien aikana. Dynaamiset ehdolliset korrelaatiot indikoivat, ett\u00e4 \u00f6ljyfutuuri- ja USA:n osakemarkkinatuottojen v\u00e4linen korrelaatio kasvaa kriisien aikana, kun taas kullan osalta korrelaatio painuu negatiiviseksi puoltaen kullan turvasatama hypoteesia. Energiaosakkeiden kohdalla korre-laatioiden dynamiikka eroaa merkitt\u00e4v\u00e4sti yleisosakkeisiin verrattuna. Lis\u00e4ksi huomioitavaa on, ett\u00e4 korrelaatioiden volatiilisuus on korkea, mik\u00e4 ei tee kulta- ja \u00f6ljyfutuurien k\u00e4ytt\u00e4misest\u00e4 ristiinsuojaamisessa mielek\u00e4st\u00e4 normaaliaikoina. Suojausasteiden valossa kultafutuurit n\u00e4ytt\u00e4isiv\u00e4t olevan \u00f6ljyfutuureja mielekk\u00e4\u00e4mpi suojausinstrumentti osakemarkkinakriisien aikana yleisindeksin kohdalla. Energiaosakkeiden osalta suojausasteiden dynamiikka ei puolla \u00f6ljy- ja kultafutuurien k\u00e4ytt\u00e4mist\u00e4 ristiinsuojauksessa osakemarkkinakriisien aikana.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Return correlations between asset classes have important implications for portfolio diversification. From hedging perspective, it is crucial to examine how the co-movements between asset classes evolve in periods of financial turmoil. This Master\u2019s thesis investigates the impacts of stock market crises on correlations between commodity futures and equity returns in the U.S market by providing evidence especially from crude oil and gold markets. The econometric modelling relies on the generalized diagonal DCC GARCH model proposed by Cappiello, Engle and Sheppard in 2006. The empirical analysis compares the evolution of conditional correlations between aggregate U.S equities and energy sector equities. Moreover, this thesis examines, whether gold and crude oil futures are attractive instruments for risk minimizing cross-market hedging for equity investments.\r\n\r\nThe empirical results indicate that correlations change significantly during periods of stock market crises. Dynamic conditional correlations show that the correlation between crude oil futures and aggregate U.S equities increases in periods of financial turmoil, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. In case of energy sector equities, the evolution of correlations differs significantly compared to aggregate U.S equities. In addition, it is worth noting that the volatility of correlations is high, which does not support using crude oil and gold futures in cross-market hedging in normal times. When scrutinizing the dynamic hedge ratios, gold futures seem to be more attractive hedging instruments against aggregate U.S equities in periods of stock market sell-offs. As for energy sector equities, the dynamics of hedge ratios supports using neither crude oil nor gold futures in cross-market hedging during stock market crises.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted using Plone Publishing form by Juho Pesonen (jumipeso) on 2017-05-27 10:22:56.807675. Form: Pro gradu -lomake (https://kirjasto.jyu.fi/julkaisut/julkaisulomakkeet/pro-gradu-lomake). JyX data: [jyx_publishing-allowed (fi) =True]", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija.group@korppi.jyu.fi) on 2017-05-27T10:22:57Z\r\nNo. of bitstreams: 2\r\nURN:NBN:fi:jyu-201705272522.pdf: 1757868 bytes, checksum: 304c8ccd9098e0688772bc94f179f23a (MD5)\r\nlicense.html: 4886 bytes, checksum: 87b74e2164acf064b9a55e5651d1e3a9 (MD5)", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2017-05-27T10:22:57Z (GMT). No. of bitstreams: 2\r\nURN:NBN:fi:jyu-201705272522.pdf: 1757868 bytes, checksum: 304c8ccd9098e0688772bc94f179f23a (MD5)\r\nlicense.html: 4886 bytes, checksum: 87b74e2164acf064b9a55e5651d1e3a9 (MD5)\r\n Previous issue date: 2017", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "1 verkkoaineisto (60 sivua)", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "financialization of commodity markets", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "dynamic conditional correlations", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "hedge ratios", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "gold markets", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "crude oil markets", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "The impact of financial crises on co-movements between commodity futures and equity prices : evidence from crude oil and gold markets", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201705272522", "language": null, "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Kansantaloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.date.updated", "value": "2017-05-27T10:22:57Z", "language": "", "element": "date", "qualifier": "updated", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": "fi", "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": null, "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "markkinat (taloustiede)", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "markkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
|