Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?
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.
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- 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.
- repec:srs:jarf12:1:v:1:y:2009:i:2:p:187-192 is not listed on IDEAS
- Yamori, Nobuyoshi, 2009.
"Characteristics of Japan’s Commodities Index and its Correlation with Stock Index,"
17160, University Library of Munich, Germany.
- Yamori NOBUYOSHI, 2009. "Characteristics Of Japan'S Commodities Index And Its Correlation With Stock Index," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(2), pages 187-192, December.
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