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

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DOI: 10.4236/me.2011.23036    3,924 Downloads   7,489 Views   Citations

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.

Cite this paper

N. Yamori, "Co-Movement between Commodity Market and Equity Market: Does Commodity Market Change?," Modern Economy, Vol. 2 No. 3, 2011, pp. 335-339. doi: 10.4236/me.2011.23036.

References

[1] Gorton, G., Hayashi, F., and Rouwenhorst, G., “Commodity Futures: A Japanese Perspective,” Yale ICF Working Paper No. 05-27 February 27, 2007.
[2] Lungarella, G., “Managed Futures: A Real Alternative,” Swiss Hedge, Fourth Quarter 2002.
[3] Büyük?ahin, B., Haigh, M., and Robe, M., “Commodities and Equities: A ‘Market of One’?”, CFTC WP June 2008.
[4] 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.
[5] 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.

  
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