03034nam 2200589 a 450 991097450270332120251117010000.01-61728-669-9(CKB)2670000000041960(EBL)3020852(SSID)ssj0000414426(PQKBManifestationID)12163874(PQKBTitleCode)TC0000414426(PQKBWorkID)10408643(PQKB)11403448(MiAaPQ)EBC3020852(Au-PeEL)EBL3020852(CaPaEBR)ebr10680990(OCoLC)662452522(BIP)33698179(BIP)25773040(EXLCZ)99267000000004196020090629d2009 uy 0engur|n|---|||||txtccrCommodities and equities a "market of one"? /Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe1st ed.New York Nova Sciencec20091 online resource (78 p.)Description based upon print version of record.1-60692-018-9 Includes bibliographical references (p. [61]-62) and index.Intro -- COMMODITIES AND EQUITIES:A "MARKET OF ONE"? -- CONTENTS -- PREFACE -- INTRODUCTION -- DATA AND DESCRIPTIVESTATISTICS -- 2.1. Returns Data -- 2.2. Returns on Equity and Commodity Indices:Summary Statistics -- 2.3. Simple Cross-Asset Correlations: Returnsand Return Volatilities -- 2.4. Returns on Specific Categories of Commodities -- 2.4.1. Summary Statistics -- 2.4.2. Simple Correlations -- SHORT-TERM CO-MOVEMENTS -- 3.1. Methodology -- 3.2. Equities and Commodities -- 3.3. Commodity Sub-Indices -- LONG-TERM CO-MOVEMENTS -- 4.1. Cointegration Analysis -- 4.2. Recursive Cointegration Analysis -- EXTREME EVENTS -- 5.1. Summary Statistics -- 5.2. Extreme Correlation Analysis -- CONCLUSION -- APPENDIX:SUPPLEMENTAL DATA -- REFERENCES -- INDEX.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 cointegration 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.StocksPricesPrice indexesStocksPrices.Price indexes.332.63/222Büyükşahin Bahattin1872235Haigh Michael S1872236Robe Michel A1872237MiAaPQMiAaPQMiAaPQBOOK9910974502703321Commodities and equities4481333UNINA