IDEAS home Printed from https://ideas.repec.org/a/eee/jocoma/v33y2024ics2405851323000594.html
   My bibliography  Save this article

Revisiting the pricing impact of commodity market spillovers on equity markets

Author

Listed:
  • Pinto-Ávalos, Francisco
  • Bowe, Michael
  • Hyde, Stuart

Abstract

This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling for the effect of time varying risk aversion and investor sentiment, there is no evidence that the documented correlation increase originates from commodity market shocks. Indeed, we are unable to reject the hypothesis of no contagion. We maintain that controlling for the influence of time varying risk aversion and investor sentiment, together with other factors which potentially cause common variation across price movements in commodity and equity markets, is essential to accurately capturing the relationship between asset prices in these markets.

Suggested Citation

  • Pinto-Ávalos, Francisco & Bowe, Michael & Hyde, Stuart, 2024. "Revisiting the pricing impact of commodity market spillovers on equity markets," Journal of Commodity Markets, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594
    DOI: 10.1016/j.jcomm.2023.100369
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2405851323000594
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jcomm.2023.100369?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Commodities; Equities; Financial contagion; Risk aversion; Investor sentiment;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jcomm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.