Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?

35 Pages Posted: 17 Feb 2014

See all articles by Christos Ntantamis

Christos Ntantamis

Dalhousie University - Department of Economics; Mount Allison University - Department of Economics

Jun Zhou

Dalhousie University

Date Written: January 21, 2014

Abstract

The extent to which prices of commodities such as oil and gold affect stock prices of firms engaged in their production, and in the stock market in general, has received attention in both the theoretical and empirical literature with mixed results. Instead of focusing on the direct relation between prices, this paper investigates the relation between different market phases. Specifically, it identifies bull and bear markets in commodity prices and in stock prices of firms whose primary business involves mining and marketing the relevant commodities, and investigates whether a relationship between them exists. The aggregate indices of the sectors related to commodities and the market overall are also considered. The empirical analysis is conducted for the Canadian stock market due to the importance that mining and energy stocks have in its composition. The results suggest that there is little evidence that the market phases identified for the individual stocks are related to those for the commodity prices.

Keywords: Commodity Prices; Stock Prices; Bull and Bear Markets; Duration Analysis

JEL Classification: C22, E32, G11

Suggested Citation

Ntantamis, Christos and Zhou, Jun, Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation? (January 21, 2014). Available at SSRN: https://ssrn.com/abstract=2396904 or http://dx.doi.org/10.2139/ssrn.2396904

Christos Ntantamis (Contact Author)

Dalhousie University - Department of Economics ( email )

Halifax, Nova Scotia B3H 3J5
Canada

Mount Allison University - Department of Economics ( email )

144 Main Street
Sackville, New Brunswick E4L1L7
Canada

Jun Zhou

Dalhousie University ( email )

6100 University Avenue
Halifax, Nova Scotia B3H 4R2
Canada

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