Co-Movement between Commodity and Equity Markets Revisited: An Application of the Thick Pen Method

Sania Wadud; Marc Gronwald; Robert Durand; Seungho Lee

doi:10.1016/j.irfa.2023.102568

Co-Movement between Commodity and Equity Markets Revisited: An Application of the Thick Pen Method

Sania Wadud^* (Corresponding Author), Marc Gronwald, Robert Durand, Seungho Lee

^*Corresponding author for this work

Curtin University

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

6 Downloads (Pure)

Abstract

This paper analyses interdependence between the returns of specific energy and nonenergy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and longterm investors.

Original language	English
Article number	102568
Journal	International Review of Financial Analysis
Volume	87
DOIs	https://doi.org/10.1016/j.irfa.2023.102568
Publication status	Published - May 2023

Bibliographical note

The corresponding author acknowledge financial support from the Aberdeen-Curtin Alliance: The University of Aberdeen, UK and Curtin University, Australia . The authors are grateful to Agnieszka Jach for sharing the code for Multi-thickness Thick Pen Measure of Association. The authors are thankful to the anonymous reviewer, Dirk Baur and Xiaoyi Mu for the careful reading and thoughtful comments that helped improve the clarity of the paper.

Data Availability Statement

The authors do not have permission to share data.

Keywords

co-movement
financialisation
thick pen measure
commodity markets
equity markets

Access to Document

10.1016/j.irfa.2023.102568Licence: CC BY-NC-ND

Wadud_etal_IRFA_Co-movement_between_commodity_VOR
https://creativecommons.org/licenses/by-nc-nd/4.0/
Final published version, 5.88 MBLicence: CC BY-NC-ND

Cite this

@article{121fd38d637846f7af17ce448481df22,

title = "Co-Movement between Commodity and Equity Markets Revisited: An Application of the Thick Pen Method",

abstract = "This paper analyses interdependence between the returns of specific energy and nonenergy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and longterm investors.",

keywords = "co-movement, financialisation, thick pen measure, commodity markets, equity markets",

author = "Sania Wadud and Marc Gronwald and Robert Durand and Seungho Lee",

note = "The corresponding author acknowledge financial support from the Aberdeen-Curtin Alliance: The University of Aberdeen, UK and Curtin University, Australia . The authors are grateful to Agnieszka Jach for sharing the code for Multi-thickness Thick Pen Measure of Association. The authors are thankful to the anonymous reviewer, Dirk Baur and Xiaoyi Mu for the careful reading and thoughtful comments that helped improve the clarity of the paper. ",

year = "2023",

month = may,

doi = "10.1016/j.irfa.2023.102568",

language = "English",

volume = "87",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

publisher = "Elsevier Inc.",

}

TY - JOUR

T1 - Co-Movement between Commodity and Equity Markets Revisited

T2 - An Application of the Thick Pen Method

AU - Wadud, Sania

AU - Gronwald, Marc

AU - Durand, Robert

AU - Lee, Seungho

N1 - The corresponding author acknowledge financial support from the Aberdeen-Curtin Alliance: The University of Aberdeen, UK and Curtin University, Australia . The authors are grateful to Agnieszka Jach for sharing the code for Multi-thickness Thick Pen Measure of Association. The authors are thankful to the anonymous reviewer, Dirk Baur and Xiaoyi Mu for the careful reading and thoughtful comments that helped improve the clarity of the paper.

PY - 2023/5

Y1 - 2023/5

N2 - This paper analyses interdependence between the returns of specific energy and nonenergy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and longterm investors.

AB - This paper analyses interdependence between the returns of specific energy and nonenergy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and longterm investors.

KW - co-movement

KW - financialisation

KW - thick pen measure

KW - commodity markets

KW - equity markets

U2 - 10.1016/j.irfa.2023.102568

DO - 10.1016/j.irfa.2023.102568

M3 - Article

SN - 1057-5219

VL - 87

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

M1 - 102568

ER -

Co-Movement between Commodity and Equity Markets Revisited: An Application of the Thick Pen Method

Abstract

Bibliographical note

Data Availability Statement

Keywords

Access to Document

Fingerprint

Cite this