Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23096.
Date of creation: 06 Jun 2010
Date of revision:
TOCOM; Commodity Futures; Japan; Index; Bubble;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-11 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2006. "Commodity Futures: A Japanese Perspective," Yale School of Management Working Papers amz2609, Yale School of Management, revised 01 Feb 2007.
- Yamori, Nobuyoshi, 2009. "Characteristics of Japan’s Commodities Index and its Correlation with Stock Index," MPRA Paper 17160, University Library of Munich, Germany.
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