Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?

Yamori, Nobuyoshi (2010): Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?

Abstract

This paper, using Japanese market data, finds that although the correlation between equity markets and commodity market used to be negative or almost zero before around 2006, it has increased significantly after the global financial crisis in Autumn of 2008. In this sense, the commodity market lost its character as an alternative asset. However, the author argues that it is too early to conclude so because of several reasons.

• Item Type: MPRA Paper
• Language: English
• Keywords: TOCOM; Commodity Futures; Japan; Index; Bubble
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G19 - Other

References

Büyükşahin, B., Haigh, M., and Robe, M., “Commodities and Equities: A ‘Market of One’?”, CFTC WP June 2008.

Eckaus, R. S., “The oil price really is a speculative bubble,” Center for Energy and Environmental Policy Research, MIT, working paper 08-007, June 2008.

Gorton, G., Hayashi, F., and Rouwenhorst, G., “Commodity Futures: A Japanese Perspective,” Yale ICF Working Paper No. 05-27 February 27, 2007.

Lungarella, G., ”Managed Futures: A Real Alternative,” Swiss Hedge, Fourth Quarter 2002.

Yamori, N., "Characteristics of Japan's Commodities Index and its Correlation with Stock Index," Journal of Applied Research in Finance 1, pp.187-192, 2009.