Exploring the role of crude oil futures in portfolio diversification

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2025-06-11 DOI:10.1016/j.mulfin.2025.100917

Ching-Chi Hsu , Wei-Che Tsai

引用次数: 0

Abstract

This study explores the potential diversification benefits of including crude oil futures in global portfolios. For this purpose, we assess the relationship between crude oil futures and international stock markets across different timeframes using static network connectedness and wavelet coherency analyses. The results show that crude oil exerts a significant influence on stock markets, particularly over the 128–256 day horizon, with this effect intensifying during epidemic periods. Our wavelet-based covariance analysis guides the calculation of optimal portfolio weights, revealing that these strategies outperform equal-weighted portfolios over longer horizons. Furthermore, crude oil futures receive higher allocations during periods of low market interdependence, offering valuable insights for risk minimization and dynamic portfolio management.

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探讨原油期货在投资组合多元化中的作用

本研究探讨将原油期货纳入全球投资组合的潜在多元化效益。为此，我们使用静态网络连通性和小波相干性分析来评估原油期货与不同时间框架的国际股票市场之间的关系。结果表明，原油对股票市场有显著影响，特别是在128-256 天范围内，这种影响在疫情期间加剧。我们基于小波的协方差分析指导了最优投资组合权重的计算，揭示了这些策略在较长时间内优于等权重投资组合。此外，原油期货在市场相互依赖性较低的时期获得更高的配置，为风险最小化和动态投资组合管理提供了有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.