درباره ارتباط بین بازار سهام و نوسانات بازار کالا

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007–2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.

This paper investigates the links between commodity and stock markets. To this end, we rely on the dynamic conditional correlation (DCC) GARCH methodology to establish whether the correlations between both markets evolve over time and depend on the situation— bearish or bullish—on the stock market. Our main findings can be summarized as follows. In our panel of 25 commodities over the period from January 2001 to November 2011, first, the correlations between commodity and stock returns evolve through time, being highly volatile, particularly since the 2007–2008 financial crisis. While the stock market collapse has loosened the links between both markets on the very short run, the highest correlations are observed during the financial turmoil, showing increased links between stock and commodity markets. Second, some commodities are characterized by a speculation phenomenon, especially oil, coffee and cocoa: while their correlations with S&P 500 returns grow in times of increasing stock prices, they diminish in times of bearish financial markets. Third, the safe-haven role of gold is evidenced, as its correlations with stock returns are mostly negative and diminish in times of declining stock prices. Fourth, while sharing some common features, commodities cannot be considered as a homogeneous asset class. On the whole, our findings show that the 2007–2008 financial crisis has played a key role, emphasizing the links between commodity and stockmarkets, and highlighting the financialization of commoditymarkets. This evolution in commodity and stock correlations reduces their potential substitutability in portfolios. At the idiosyncratic level, the main exceptions are gold, coffee and cocoa for which risk management strategies are possible, with increased risk diversification allowed by their adverse evolution compared to the stock market in times of declining equity prices.