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

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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.

Keywords: Forestry returns; VAR-models; co-integration; environmental management; forest; forest management; forest resources; forestry; forestry research; forestry science; natural resource management; natural resources

Document Type: Miscellaneous

Affiliations: Risk Manager Investments, Varma-Sampo Mutual Pension Insurance Company, P.O. Box 4 00098 Varma-Sampo, Helsinki, Finland, Fax: +358-10-514 3238

Publication date: February 1, 2002

More about this publication?
  • Forest Science is a peer-reviewed journal publishing fundamental and applied research that explores all aspects of natural and social sciences as they apply to the function and management of the forested ecosystems of the world. Topics include silviculture, forest management, biometrics, economics, entomology & pathology, fire & fuels management, forest ecology, genetics & tree improvement, geospatial technologies, harvesting & utilization, landscape ecology, operations research, forest policy, physiology, recreation, social sciences, soils & hydrology, and wildlife management.
    Forest Science is published bimonthly in February, April, June, August, October, and December.

    Also published by SAF:
    Journal of Forestry
    Other SAF Publications
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