Financial crises and the nature of correlation between commodity and stock markets

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• 作者：Mehmet Fatih Ö ; ztek^a ; ^{mfoztek@ybu.edu.tr} ; Nadir Ö ; cal^b ; ^{ocal@metu.edu.tr}
• 关键词：C32 ; C58 ; F36 ; G15
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：56-68
• 全文大小：597 K
• 卷排序：48

文摘

A thorough analysis of integration between commodity and stock markets is presented. Evidence against the rising trend is found for the agricultural commodity market. High market volatility during crises seems to be main source of high correlations. Commodity markets still offer valuable portfolio diversification opportunities. The portfolios always outperform the stock market particularly in calm periods.