Co-movement between commodity and equity markets revisited—An application of the Thick Pen method

Sania Wadud (), Marc Gronwald, Robert B. Durand and Seungho Lee

International Review of Financial Analysis, 2023, vol. 87, issue C

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.

Keywords: Co-movement; Financialisation; Thick pen measure; Commodity markets; Equity markets (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 Q02 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844

DOI: 10.1016/j.irfa.2023.102568

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