Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets
利用2009年至2020年的一分钟高频数据，研究了石油、黄金和铜期货市场中特质跳跃和共同跳跃对日内相关性、投资组合配置及分散化收益的影响，发现特质跳跃和反向共同跳跃能提升分散化效果，而正向共同跳跃则降低分散化收益。
Using one-minute oil, gold and copper futures price from September 27, 2009, to July 1, 2020, this paper examines the effects of systematic and idiosyncratic (market-specific risk) jumps on intraday correlations, portfolio allocation decisions, and diversification benefits. We identify that these commodities contain high proportions of market-specific price discontinuities, which do not translate into systematic jumps. Co-jumps in the same direction lead to higher correlations and imply reduction in diversification benefits, while co-jumps in the opposite direction reduce correlations and positively affect diversification, similar to the idiosyncratic jumps. The results also demonstrate that the risk-averse investor’s gold portfolio allocations are not affected by co-jumps and are free from the non-diversifiable risks in oil and copper markets. However, idiosyncratic jumps in oil and copper markets increase allocations to gold. In contrast, allocations to copper and oil are significantly affected by the systematic risks outlined in copper–gold and oil–gold pairs, pushing risk-averse investors to oil from copper–gold and copper from oil–gold systematic risks. Finally, diversification benefits from price discontinuities are overall positive and driven by the idiosyncratic jumps in oil and copper markets when the minimum variance portfolio allocations are used.