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FIEM040.pdf

Article Title : Analysis and Research on Effective Ways of Commodity Futures in China's Financial Asset Allocation Strategy Optimization and Upgrade
Author(s) : Hongkai Wang, Yu Sun, Xiaoping Ye
Corresponding Author : Hongkai Wang
Keywords : Commodity Futures; Financial Asset Allocation; Financial Allocation Strategy; Stock Index Return.
PDF : http://download.BCPub.org/proceedings/2020/FIEM2020/FIEM040.pdf
Abstract

This article examines the dynamic change characteristics of conditional correlation coefficients between some commodity futures varieties and stock index returns in China. The results show that: There is a low correlation between commodity futures and financial asset allocation; some commodity futures prices and stock prices. The market correlation of the index shows a long-term weakening trend; moreover, the correlation between the two declines as the stock market volatility increases, the greater the volatility of the stock market, the correlation between commodity futures and financial asset allocation strategy stock index. The lower the sex; these all mean that commodity futures have a better risk diversification value for asset allocation.

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