Commodities and Equities: Ever a “Market of One”?

摘要: Amid the rise in commodity investing that started 2003, many have asked whether commodities now move more sync with traditional financial assets. Using daily, weekly and monthly data over 18 years, this article provides evidence largely to contrary. First, dynamic conditional correlation recursive co-integration techniques are applied prices of, returns on, key investable U.S. equity indices. Compared 1991–2002 period, both short- long-term relationships between passive investments generally weaker after 2003. Even though correlations increased sharply fall of 2008, during a time extraordinary economic turbulence, they remained lower than their peaks previous decade. Second, co-movements periods extreme analyzed. There is little secular increase spillovers from markets events. Overall, results suggest while provide substantial diversification benefits investors, those precisely when needed most.