STOCKS, COMMODITIES AND BUSINESS CYCLE FLUCTUATIONS – SEEKING THE DIVERSIFICATION BENEFITS

Radoslaw Kurach ()
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Radoslaw Kurach: Wroclaw University of Economics, Poland

Equilibrium. Quarterly Journal of Economics and Economic Policy, 2012, vol. 7, issue 4, 101-116

Abstract: In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtained results indicate that Precious Metal and Livestock are valuable equity portfolio diversifiers, while Industrial Metals volatility has much in common with the fluctuations of broad stock market.

Keywords: stock and commodity markets; diversification benefits; business cycle fluctuations (search for similar items in EconPapers)
JEL-codes: E32 F30 G11 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pes:ierequ:v:7:y:2012:i:4:p:101-116

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