Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification

Marcio Genovevo da Costa and Nils Donner

Journal of Management and Sustainability, 2016, vol. 6, issue 1, 24-44

Abstract: Commodities are well known to act anti-cyclical to stocks and are therefore used for portfolio diversification. However, various banks, asset managers and hedge funds were inculpated to speculate with agricultural commodities, especially after the food price bubble in 2007/08. This paper aims to investigate whether there is a diversification effect between equity- and commodity markets in the period from 1990 until 2014. We found evidence for a significant relationship between these two asset classes after the financial crisis using a cointegration framework.

Keywords: cointegration; portfolio diversification; agricultural markets; commodity; equity; speculation; food price bubble (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:jmsjnl:v:6:y:2016:i:1:p:24-44

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