Commodities and Equities: 'A Market of One'?

47 Pages Posted: 11 Dec 2007 Last revised: 12 Nov 2009

See all articles by Bahattin Buyuksahin

Bahattin Buyuksahin


Michael S. Haigh

Standard Chartered Bank

Michel A. Robe

University of Illinois at Urbana-Champaign

Date Written: July 11, 2008


Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. Using daily, weekly and monthly data, we provide evidence that challenges this idea. Applying dynamic correlation and recursive cointegration techniques, we find that the relation between the returns on investable commodity and U.S. equity indices did not change significantly from January 1991 to May 2008. Importantly, we provide the first analysis of co-movement during periods of extreme returns. Again, we find no evidence of a secular increase in co-movement between the returns on commodity and equity investments during extreme events.

Keywords: Commodities, Equities, Dynamic conditional correlations, DCC, Cointegration, Extreme-events correlations

JEL Classification: G10, G13, L89

Suggested Citation

Buyuksahin, Bahattin and Haigh, Michael Stephen and Robe, Michel A., Commodities and Equities: 'A Market of One'? (July 11, 2008). Available at SSRN: or

Bahattin Buyuksahin

ADIA ( email )

211 Corniche Road
Abu Dhabi, Abu Dhabi PO Box3600
United Arab Emirates
+971505496600 (Phone)

Michael Stephen Haigh

Standard Chartered Bank ( email )

6 Battery Rd
65-8838-7318 (Phone)

Michel A. Robe (Contact Author)

University of Illinois at Urbana-Champaign ( email )

601 E John St
Champaign, IL 61820
United States

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