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Title: Co-movements between financial and commodity markets
Authors: Maldonado, Isabel
Pinho, Carlos
Keywords: Comovements
Issue Date: 2017
Citation: Maldonado, I., & Pinho, C. (2017). Co-movements between financial and commodity markets. Information and Communication Technologies - 6th International Virtual Conference 2017 (ICTIC 2017), Slovakia, 26-30 Mar.2017. Disponível no Repositório UPT,
Abstract: In this paper we aim to assess the dynamics of commodities ad stock markets at time-frequency domain. Our data set consists of monthly IMF commodity price indices and sub-indices, and the Morgan Stanley Capital International (MSCI) World Stock Index between January 1993 and March 2016. Among others, our results indicate a significant increase in synchronization of procyclical pattern, with periodicities of one to four years, during the recent subprime and financial crisis. The results presented in the paper could help investors to design investment strategies in commodity markets.
ISSN: 1339-9144
Appears in Collections:REMIT - Comunicações a Congressos Internacionais / Papers in International Meetings

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