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Commodities and Equities ePub download

by Bahattin Buyukahin

  • Author: Bahattin Buyukahin
  • ISBN: 1606920189
  • ISBN13: 978-1606920183
  • ePub: 1458 kb | FB2: 1976 kb
  • Language: English
  • Category: Investing
  • Publisher: Nova Science Publishers; UK ed. edition (May 13, 2009)
  • Pages: 66
  • Rating: 4.5/5
  • Votes: 861
  • Format: rtf mobi doc lit
Commodities and Equities ePub download

Commodities and equities: ever a market of one ? B Büyüksahin, MS Haigh, MA Robe. Energy markets’ financialization and equity-commodity co-movements.

Commodities and equities: ever a market of one ? B Büyüksahin, MS Haigh, MA Robe. The Journal of Alternative Investments 12 (3), 76-95, 2009. Speculators, prices, and market volatility. C Brunetti, B Büyükşahin, JH Harris. Journal of Financial and Quantitative Analysis 51 (5), 1545-1574, 2016. Energy Markets’ Financialization and Equity-Commodity Co-Movements (July 2. 2011.

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 . 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

Keywords: Commodities, Equities, Dynamic conditional correlations, DCC, Cointegration, Extreme-events correlations.

Keywords: Commodities, Equities, Dynamic conditional correlations, DCC, Cointegration, Extreme-events correlations.

Please consider supporting us by disabling your ad blocker. Commodities and Equities: A "Market of One"?

Please consider supporting us by disabling your ad blocker. Commodities and Equities: A "Market of One"? by Bahattin Byksahin, Bahattin B'Uy'uksahin. Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets.

Büyükşahin, Bahattin ; Haigh, Michael S. ; Robe, Michel Andre publisher "Nova Science Publishers, In., } ty - book. T1 - Commodities and equities. T2 - A Market of One? AU - Büyükşahin, Bahattin. ; Robe, Michel Andre. Commodities and equities : A Market of One?. Nova Science Publishers, In. 2009. 66 p. {87037354274b, title "Commodities and equities: A Market of One?", abstract "Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. publisher "Nova Science Publishers, In. AU - Haigh, Michael S. AU - Robe, Michel Andre.

Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the financialization of commodity markets

Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the financialization of commodity markets. We first document changes since 2000 in the intensity of speculative activity in grain and livestock futures.

Because much of the new commodity exposure has been achieved through direct or indirect participation in futures markets, it should be reflected in the magnitude and composition of commodity futures trading.

Michael S. Haigh June 9, 2008. Because much of the new commodity exposure has been achieved through direct or indirect participation in futures markets, it should be reflected in the magnitude and composition of commodity futures trading.

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Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. This book offers evidence that challenges this idea. It uses dynamic correlation and recursive co-integration techniques to find the relation between the returns on investable commodity and US equity indices.