Commodities and equities : a "market of one"? / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe.

Format:

Book

Author/Creator:

Büyükşahin, Bahattin.

Contributor:

Haigh, Michael S.

Robe, Michel A.

Language:

English

Subjects (All):

Stocks--Prices.

Stocks.

Price indexes.

Physical Description:

1 online resource (78 p.)

Edition:

1st ed.

Place of Publication:

New York : Nova Science, c2009.

Language Note:

English

Summary:

Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive cointegration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.

Contents:

Intro

COMMODITIES AND EQUITIES:A "MARKET OF ONE"?

CONTENTS

PREFACE

INTRODUCTION

DATA AND DESCRIPTIVESTATISTICS

2.1. Returns Data

2.2. Returns on Equity and Commodity Indices:Summary Statistics

2.3. Simple Cross-Asset Correlations: Returnsand Return Volatilities

2.4. Returns on Specific Categories of Commodities

2.4.1. Summary Statistics

2.4.2. Simple Correlations

SHORT-TERM CO-MOVEMENTS

3.1. Methodology

3.2. Equities and Commodities

3.3. Commodity Sub-Indices

LONG-TERM CO-MOVEMENTS

4.1. Cointegration Analysis

4.2. Recursive Cointegration Analysis

EXTREME EVENTS

5.1. Summary Statistics

5.2. Extreme Correlation Analysis

CONCLUSION

APPENDIX:SUPPLEMENTAL DATA

REFERENCES

INDEX.

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [61]-62) and index.

ISBN:

1-61728-669-9

OCLC:

662452522