Wadud, Sania and Gronwald, Marc and Durand, Robert B and Lee, Seungho (2023) Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. International Review of Financial Analysis, 87. p. 102568. DOI https://doi.org/10.1016/j.irfa.2023.102568
Wadud, Sania and Gronwald, Marc and Durand, Robert B and Lee, Seungho (2023) Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. International Review of Financial Analysis, 87. p. 102568. DOI https://doi.org/10.1016/j.irfa.2023.102568
Wadud, Sania and Gronwald, Marc and Durand, Robert B and Lee, Seungho (2023) Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. International Review of Financial Analysis, 87. p. 102568. DOI https://doi.org/10.1016/j.irfa.2023.102568
Abstract
This paper analyses interdependence between the returns of specific energy and non-energy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and long-term investors.
Item Type: | Article |
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Uncontrolled Keywords: | Co-movement; Financialisation; Thick pen measure; Commodity markets; Equity markets |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 15 Mar 2023 16:44 |
Last Modified: | 16 May 2024 21:43 |
URI: | http://repository.essex.ac.uk/id/eprint/35214 |
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