References
- Anson M (1998), “Spot Returns, Roll Yield and Diversification with Commodity”, The Journal of Alternative Investments, December, pp. 16-32.
- Baur, D. G. and Lucey, B. M.(2010), “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold”, The Financial Review, 45, 217-229.
- Becker K and Finnerty J (2000), “Indexed Commodity Futures and the Risk and Return of Institutional Portfolios”, OFOR Working Paper
- Bodie Z (1983), “Commodity Futures as a Hedge Against Inflation”, The Journal of Portfolio Management, Spring, pp. 12-17.
- Bodie Z and Rosansky V (1980), “Risk and Returns in Commodity Futures”, Financial Analysts Journal, May-June, pp. 27-39.
- C. Mitchell Conover, Gerald R Jensen, Robert R Johnson, Jeffrey M Mercer (2009), “Can precious metal make your portfolio shine”, The Journal of Investing, vol. 18 no 1, pp.75-86.
- Cheung, C. Sherman; Miu, Peter (2010), “Diversification Benefits of Commodity Futures”, Journal of International Financial Markets, Institutions & Money, Vol. 20 Issue 5, p451-474. 24p
- Coudert, V. and Raymond, H. (2010), Gold and Financial Assets: Are There any Safe Havens in Bear Markets? CEPII research center, Working Papers, No. 2010-2013, Paris University and Paris University.
- Edwards F and Park J (1996), “Do Managed Futures Make Good Investments?” Journal of Futures Markets, Vol. 16, pp. 475-517.
- Edwards, F. R. and Caglayan (2001), M. O., Hedge Fund and Commodity Fund Investments in Bull and Bear Markets, Journal of Portfolio Management, 27(4), 97-108.
- Erb C and Harvey R (2006), “The Strategic and Tactical Value of Commodity Futures”, Financial Analysts Journal, March-April, pp. 69-97
- Dieter H., Huang H. and Niessen A. (2008), “How do Commodity future respond to Macro Economic News”, Financial Markets and Portfolio Management, Volume 22, Issue 2, pp 127-146
- Fama, E. and G. Schwert (1977), “ Asset returns and inflation”, Journal of Financial Economics, 5 (2), 115–146.
- Greer R J (1978), “Methods for Institutional Investment in Commodity Futures”, The Journal of Derivatives, Winter, pp. 28-36.
- Gorton, G. and Rouwenhorst, K.G. (2005), ‘Facts and fantasies about commodity futures’, Yale ICF working paper no. 04-20, pp40.
- Gorton, G. B. and Rouwenhorst (2006), “Facts and Fantasies about Commodity Futures”, Financial Analysts Journal, 62(2), 47-68.
- Halpern P and Warsager R (1998), “The Performance of Energy and Non Energy Based Commodity Investment Vehicles in Periods of Inflation”, The Journal of Alternative Investments, Summer, pp. 75-81.
- Hartzell, D., J. Hekman, and M. Miles (1987), “Real estate returns and inflation”, Real Estate Economics 15 (1), 617–637.
- Hunjra, A. I., Azam M., Niazi G. S. K., Butt, B. Z., Rehman, K. U. and Azam, R.I., Risk and Return Relationship in Stock Market and Commodity Prices: A Comprehensive Study of Pakistani Markets, World Applied Sciences Journal, 13(3), 2011, 470-481.
- Ibbotson Associates (2006), ‘Strategic asset allocation and commodities’ pp. 57.
- Jalil, N. A., Ghani G. M., Daud J., and Ibrahim M. (2009), “Stock Price Movements : Does Change in Energy Price Matter?”, Instituto Brasileiro de Estudos Empresariais e Jurídicos(IBEJ), 2(1).
- Jensen, G., Johnson, R.R. and Mercer, J.M. (2000), ‘Efficient use of commodity futures in diversified portfolios’, The Journal of Futures Markets, vol. 20 no 5, pp. 489-506.
- Jensen G, Johnson R and Mercer J (2002), “Tactical Asset Allocation and Commodity Futures”, Journal of Portfolio Management, Summer, pp. 100-111.
- Jensen G et al. (2010), “Is Now the time to add Commodities to your Portfolio”, Journal of Investing. Vol. 19 Issue 3, p10-19. 10p
- Kaplan, P. D. and Lummer, S.L., (1998), ‘Update: GCSI collateralized futures as a hedging and diversification tool for institutional portfolios’, The Journal of Investing, Winter, pp. 11 - 17.
- Park, J. W. and Ratti, R.A., Oil Price Shocks and Stock Markets in the medals and 13 European Countries, Energy Economics, 30(5), 2008, 2587-2608.
- Rubens, J., M. Bond, and J. Webb (1989), “The inflation-hedging effectiveness of real estate”, Journal of Real Estate Research 4 (2), 45–55.
- Satyanarayan, S. and P. Varangis, “Diversification Benefits of Commodity Assets in Global Portfolios,” Journal of Investing, Spring 1996, pp. 69-78.
- Schneeweis T and Spurgin R (1997), “Energy Based Investment Products and Investor Asset Allocation”, AIMA, Newsletter, June.
- Schneeweis T and Spurgin R (2000), “Investment Benefits of the LMEX Index”, Journal of Alternative Investments, Spring.
- Smimou, K. (2010). Stock market and agricultural futures diversification: An international perspective. The Journal of Alternative Investments, 12(4), 36-57
- Sumner, S., Johnson, R., Soenen, L., Spillover Effects between Gold, Stocks, and Bonds, Journal of CENTRUM Cathedra, 3(2), (2010), 106-120.
- Wang, M. L., Wang, C. P. and Huang, T. Y., Relationships among Oil Price, Gold Price, Exchange Rate and International Stock Markets, International Research Journal of Finance and Economics, 47, 2010, 82-91
- Walid S, Abanomey and lke Mathur (1999), “The Hedging Benefits of Commodity Futures in International Portfolio Diversification”, The Journal of Alternative Investments, Vol 2, No.3: pp51-62
- You, L. and Daigler, R. T. (2013), “A Markowitz Optimization of Commodity Futures Portfolios”, Journal of Future Markets, Vol. 33: 343–368