co-movement between commodity market and equity market does commodity market changeco-movement大宗商品市场和股市之间商品市场变化.pdfVIP

Modern Economy, 2011, 2, 335-339 doi:10.4236/me.2011.23036 Published Online July 2011 (http://www.SciRP.org/journal/me) Co-Movement between Commodity Market and Equity Market: Does Commodity Market Change? Nobuyoshi Yamori Graduate School of Economics, Nagoya University Furo-Cho Chikusa-Ku, Nagoya, Japan E-mail : yamori@soec.nagoya-u.ac.jp Received February 20, 2011; revised March 13, 2011; accepted April 24, 2011 Abstract This paper, using Japanese market data, finds that although the correlation between equity markets and commodity market used to be negative or almost zero before around 2006, it has increased significantly after the global financial crisis in the autumn of 2008. In this sense, the commodity market lost its character as an alternative asset. Keywords: TOCOM, Commodity Futures, Japan, Index, Bubble 1. Introduction seen as a simple extension of the traditional movement, but as the result of a structural change. The crash in equity markets occurred in autumn of 2008, This paper is the first paper in the literature to investi- while commodity markets also recorded an historical gate the relationship between commodity market and decline. For example, futures prices for West Texas In- equity market by using Japanese daily data during the termediate (WTI) on the New York Mercantile Exchange global financial crisis period and to find that, unlike pre- (NYMEX), which is the global crude oil price index, vious period, there was a strong positive correlation b