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2002Forest Science

Co-integration of Timber and Financial Markets—Implications for Portfolio Selection

V-P. Heikkinen

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Abstract

Abstract The short-run and long-run correlations between Finnish forestry returns and financial market instruments are examined. Financial assets include the general stock market index HEX, bond rate and deposit rate. The results indicate that timber prices and bond and deposit rates are co-integrated in the long run. The study demonstrates the influence of co-integration on expected asset returns and the optimal investment portfolio. FOR. SCI. 48(1):118–128.

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Reference

V-P. Heikkinen. (2002). Co-integration of Timber and Financial Markets—Implications for Portfolio Selection. Forest Science. https://doi.org/10.1093/forestscience/48.1.118

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