Are Commodity Futures Prices Barometers of the Global Economy?

48 Pages Posted: 10 Dec 2013

See all articles by Conghui Hu

Conghui Hu

Beijing Normal University, Business School

Wei Xiong

Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: December 2013

Abstract

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of copper and soybeans, albeit not crude oil, for stock prices of all these East Asian economies and across a broad range of industries after mid-2000s. Our analysis establishes commodity futures prices as barometers of global economic strength in recent years, but leaves open a deeper issue regarding whether through this informational channel noise from futures market trading can feed back to the real economy.

Suggested Citation

Hu, Conghui and Xiong, Wei, Are Commodity Futures Prices Barometers of the Global Economy? (December 2013). NBER Working Paper No. w19706, Available at SSRN: https://ssrn.com/abstract=2366000

Conghui Hu (Contact Author)

Beijing Normal University, Business School ( email )

19 Xinjiekou Outer St
Haidian District
Beijing, Beijing 100875
China

Wei Xiong

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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