Commodities and equities : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe
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| Autore: |
Büyükşahin Bahattin
|
| Titolo: |
Commodities and equities : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe
|
| Pubblicazione: | New York, : Nova Science, c2009 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (78 p.) |
| Disciplina: | 332.63/222 |
| Soggetto topico: | Stocks - Prices |
| Price indexes | |
| Altri autori: |
HaighMichael S
RobeMichel A
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references (p. [61]-62) and index. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Commodities and equities |
| ISBN: | 1-61728-669-9 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910974502703321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |