Commodities & Equities : A "Market of One"?
Book Details
Format
Paperback / Softback
ISBN-10
1606920189
ISBN-13
9781606920183
Publisher
Nova Science Publishers Inc
Imprint
Nova Science Publishers Inc
Country of Manufacture
US
Country of Publication
GB
Publication Date
May 28th, 2009
Print length
66 Pages
Weight
156 grams
Dimensions
22.60 x 15.60 x 0.70 cms
Product Classification:
Investment and securitiesCommodities
Ksh 9,550.00
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Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.
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