Co-movements Between Financial and Commodity Markets

Conference proceedings article


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Publication Details

Author list: Maldonado, I. & Pinho, C.
Publication year: 2017
ISBN: 978-80-554-1325-9
Languages: English-Great Britain (EN-GB)


Abstract

In this paper we aim to assess the dynamics of commodities ad stock
markets at time-frequency domain. Our data set consists of monthly IMF
commodity price indices and sub-indices, and the Morgan Stanley Capital
International (MSCI) World Stock Index between January 1993 and March
2016.

Among others, our results indicate a significant increase in
synchronization of procyclical pattern, with periodicities of one to
four years, during the recent subprime and financial crisis. The results
presented in the paper could help investors to design investment
strategies in commodity markets.


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Last updated on 2019-13-08 at 00:46