Co-Movement Between Commodity Market and Equity Market: Does Commodity Market Change?
Co-Movement Between Commodity Market and Equity Market: Does Commodity Market Change?
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DOI：
10.2139/ssrn.1621223
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发表时间：
2010-06
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影响因子：
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通讯作者：
Nobuyoshi Yamori
中科院分区：
文献类型：
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作者：
Nobuyoshi Yamori
本文利用日本市场数据发现，尽管在2006年左右之前，股票市场与大宗商品市场的相关性曾经是负的或几乎为零，但在2008年秋季全球金融危机之后，这种相关性显着上升。从这个意义上说，大宗商品市场失去了另类资产的特征。然而，作者认为，由于多种原因，现在下结论还为时过早。
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.