Co-Movement Between Commodity Market and Equity Market: Does Commodity Market Change?

Abstract

This paper, using Japanese market data, finds that although the correlation between equity markets and commodity market used to be negative or almost zero before around 2006, it has increased significantly after the global financial crisis in Autumn of 2008. In this sense, the commodity market lost its character as an alternative asset. However, the author argues that it is too early to conclude so because of several reasons.

Keywords: TOCOM, Commodity Futures, Japan, Index, Bubble

JEL Classification: G11, G19