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Historical Performance of Commodity and Stock Markets


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  • Zapata, Hector O.
  • Detre, Joshua D.
  • Hanabuchi, Tatsuya


This paper examines two interrelated issues in commodity markets, namely, the cyclical relationship between stocks and commodities and the function of commodity and agribusiness indexes in portfolios. A high negative correlation has existed between stock and commodity prices over the past 140 years. Moreover, the two markets have alternated in price leadership with 29–32-year cycles. The recent price dominance in agricultural commodities started in 2000, a result supported by the empirical results of the portfolio allocation analysis. For a risk-averse investor, irrespective of the period analyzed, placing funds in agribusiness and/or agricultural commodity indexes was sound investing.

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Bibliographic Info

Article provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.

Volume (Year): 44 (2012)
Issue (Month): 03 (August)

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Handle: RePEc:ags:joaaec:130273

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Related research

Keywords: agribusiness stocks; agricultural commodities; investment; portfolios; stock market indexes; Marketing; G10; G11; Q13;

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  1. Hertel, Thomas & Beckman, Jayson, 2010. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets," GTAP Working Papers 3214, Center for Global Trade Analysis, Department of Agricultural Economics, Purdue University.
  2. Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159.
  3. Andrew Dorward, 2001. "The Effects of Transaction Costs, Power and Risk on Contractual Arrangements: A Conceptual Framework for Quantitative Analysis," Journal of Agricultural Economics, Wiley Blackwell, vol. 52(2), pages 59-73.
  4. Peng, Wei & Bosch, Darrell J., 2001. "Risk And Site Factors Affecting Potential Nitrogen Delivery In The Virginia Coastal Plain," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(01), April.
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Cited by:
  1. Brorsen, B. Wade, 2012. "Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(03), August.
  2. Hanabuchi, Tatsuya, 2013. "Investing in Agribusiness Stocks: What Lies Ahead!," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143041, Southern Agricultural Economics Association.


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