Thesis title: Marché des matières premières et marchandises: formation des prix et gestion de portefeuille.
Supervisor : Constantin MELLIOS@: firstname.lastname@example.org
|Institution||Sorbonne University Paris1 PRISM|
|Your PhD supervisor name||Constantin Mellios|
|Your thesis title||Marchés des matières premières et marchandises: Formation des prix et gestion de portefeuille|
|JEL Classification (Ex. G28, E58, K2)||G14,L10,Q40,G11,G12|
|Keywords||Commodity Markets, Portfolio choice, Asset pricing, Commodity regulation, Event Study, Market Structure.|
|Objectives||– Study the microstructure of commodity markets through event studies.
– Study the correlations’ structure between commodities, group of commodities and traditional assets.
– The two aforementioned parts are to be the input for computing the optimized quantities to invest in commodities within a multi-commodities portfolio.
|Design / methodology / approach||– The microstructure (commodities) was analysed through event studies (OPEC news) combined with an EGARCH model. The same technique was performed on stocks using a FAMA-FRENCH 3 factors model.
-The correlations’ structure will be analysed through an ADCC model as to account for the assymetries.
– The optimzed multi-commodity portfolio will be computed through a continous and intertemporal model ( See Cox and Huang,1989).
|Empirical findings / expected outputs||– OPEC news do impact oil prices. The impact differs depending on the news’ types and the indices used.
-Some industrial sectors should be more impacted than others
-The correlations’ structure should have undergone lots of changes.
-Commodities will be surely playing a huge role in generating revenues rather than hedging. The optimized quantities should indicate that.
|Research contribution / practical implications / Originality||– Mixing event studies to an EGARCH model is new to the literature. The contribution is purely methological in plus of newer data.
– Using a huge database to assess the impact of OPEC news on each firm is almost inexistant in the literature.
-Studying of the interactions between commodities and group of commodities contributes to the growing literature in the domain.
-There is little literature on the multi-commodity portfolios.