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Historical Performance of Commodity and Stock Markets


  • 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.

Suggested Citation

  • Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012. "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(03), August.
  • Handle: RePEc:ags:joaaec:130273

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    References listed on IDEAS

    1. Thomas W. Hertel & Jayson Beckman, 2011. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets," NBER Chapters,in: The Intended and Unintended Effects of U.S. Agricultural and Biotechnology Policies, pages 189-221 National Bureau of Economic Research, Inc.
    2. 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, Cambridge University Press, vol. 33(01), pages 173-188, April.
    3. 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.
    4. 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.
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    Cited by:

    1. Jasman Tuyon & Zamri Ahmad & Hylmee Matahir, 2016. "The Roles of Investor Sentiment in Malaysian Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(Suppl. 1), pages 43-75.
    2. repec:kap:compec:v:51:y:2018:i:1:d:10.1007_s10614-016-9618-8 is not listed on IDEAS
    3. Hanabuchi, Tatsuya, 2013. "Investing in Agribusiness Stocks: What Lies Ahead!," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143041, Southern Agricultural Economics Association.
    4. repec:ijb:journl:v:16:y:2017:i:1:p:1-19 is not listed on IDEAS
    5. Laila Amir Memdani & Rajya lakshmi Kandukuri, 2014. "Nexus between Returns in Commodity Market and Equity Market: A Case of Indian Steel Industry," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(3), pages 59-72, June.
    6. 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.
    7. repec:eee:eneeco:v:66:y:2017:i:c:p:217-227 is not listed on IDEAS

    More about this item


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

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness


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