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Book Synopsis
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 co-integration 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.

Commodities & Equities: A Market of One ?

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    £999.99

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    A Paperback / softback by Bahattin Büyükahin, Michael S Haigh, Michel A Robe

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      Publisher: Nova Science Publishers Inc
      Publication Date: 28/05/2009
      ISBN13: 9781606920183, 978-1606920183
      ISBN10: 1606920189
      Also in:
      Investment and securities

      Description

      Book Synopsis
      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 co-integration 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.

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