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

Author

Listed:
  • Yamori, Nobuyoshi

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. However, the author argues that it is too early to conclude so because of several reasons.

Suggested Citation

  • Yamori, Nobuyoshi, 2010. "Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?," MPRA Paper 23096, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:23096
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    File URL: https://mpra.ub.uni-muenchen.de/23096/1/MPRA_paper_23096.pdf
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    References listed on IDEAS

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    1. 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.
    2. 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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    Cited by:

    1. Michael Graham & Jarno Kiviaho & Jussi Nikkinen, 2013. "Short-term and long-term dependencies of the S&P 500 index and commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 583-592, March.
    2. 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.

    More about this item

    Keywords

    TOCOM; Commodity Futures; Japan; Index; Bubble;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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