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Export Reference (APA) 
Pereira, M., Ramos, S. B. & Dias, J. G. (2017). The cyclical behaviour of commodities. European Journal of Finance. 23 (12), 1107-1128
Export Reference (IEEE) 
M. Pereira et al.,  "The cyclical behaviour of commodities", in European Journal of Finance, vol. 23, no. 12, pp. 1107-1128, 2017
Export BibTeX 
@article{pereira2017_1732203850765,
	author = "Pereira, M. and Ramos, S. B. and Dias, J. G.",
	title = "The cyclical behaviour of commodities",
	journal = "European Journal of Finance",
	year = "2017",
	volume = "23",
	number = "12",
	doi = "10.1080/1351847X.2016.1205505",
	pages = "1107-1128",
	url = "http://www.tandfonline.com/doi/full/10.1080/1351847X.2016.1205505"
}
Export RIS 
TY  - JOUR
TI  - The cyclical behaviour of commodities
T2  - European Journal of Finance
VL  - 23
IS  - 12
AU  - Pereira, M.
AU  - Ramos, S. B.
AU  - Dias, J. G.
PY  - 2017
SP  - 1107-1128
SN  - 1351-847X
DO  - 10.1080/1351847X.2016.1205505
UR  - http://www.tandfonline.com/doi/full/10.1080/1351847X.2016.1205505
AB  - Commodities are known to exhibit cyclical behaviour. This paper studies the dynamics of commodities regimes and their implications for portfolio diversification. Using an extension of the regime-switching model, we find that the 12 commodities studied can be clustered into four groups with different regime dynamics, demonstrating that the asset class behaviour of commodities is far from homogeneous. The existence of two regimes is transversal to the assets studied. One regime is marked by high volatility and the other by low volatility. In both regimes, most of the commodities exhibit returns that are not statistically significantly different from those of the stock market regime. The exceptions are oil and natural gas during the low-volatility regime. The analysis of regime synchronization shows that our stock market proxy has low synchronization with commodities, which suggests potential diversification value from adding commodities to an equity portfolio. Based on portfolio optimization, we find that commodities are included in the optimal portfolios in the bull and bear regime of the Standard & Poor’s 500 index. The benefits of diversifying into commodities are particularly strong in the bear stock market regime.
ER  -