Commodities & Equities: A "Market of One"? - Couverture souple

Büyükahin, Bahattin; Haigh, Michael S; Robe, Michel A

Couverture souple

ISBN 10 : 1606920189 ISBN 13 : 9781606920183

Editeur : Nova Science Publishers Inc, 2009

Synopsis

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.

Détails de l'édition

• Éditeur: Nova Science Publishers Inc
• Date d'édition: 2009
• Langue: anglais
• ISBN 10: 1606920189
• ISBN 13: 9781606920183
• Reliure: Broché
• Nombre de pages: 66
• Coordonnées du fabricant: non disponible
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