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

12 Pages Posted: 6 Jun 2010  

Nobuyoshi Yamori

Kobe University - Research Institute for Economics & Business Administration

Date Written: June 5, 2010

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

Suggested Citation

Yamori, Nobuyoshi, Co-Movement Between Commodity Market and Equity Market: Does Commodity Market Change? (June 5, 2010). Available at SSRN: https://ssrn.com/abstract=1621223 or http://dx.doi.org/10.2139/ssrn.1621223

Nobuyoshi Yamori (Contact Author)

Kobe University - Research Institute for Economics & Business Administration ( email )

2-1, Rokkodai cho
Nada-ku
Kobe, 657-8501
Japan

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