Revisiting the pricing impact of commodity market spillovers on equity markets

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2023-11-24 DOI:10.1016/j.jcomm.2023.100369

Francisco Pinto-Ávalos , Michael Bowe , Stuart Hyde

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Abstract

This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling for the effect of time varying risk aversion and investor sentiment, there is no evidence that the documented correlation increase originates from commodity market shocks. Indeed, we are unable to reject the hypothesis of no contagion. We maintain that controlling for the influence of time varying risk aversion and investor sentiment, together with other factors which potentially cause common variation across price movements in commodity and equity markets, is essential to accurately capturing the relationship between asset prices in these markets.

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重新审视大宗商品市场溢出效应对股票市场的定价影响

本文以2000-2023年的大宗商品出口经济体为样本，回顾了大宗商品和股票市场之间定价关系的动态。我们证实了这些资产价格在金融危机时期上涨之间的相关性。先前的研究将这种增长归因于商品价格冲击引发的传染效应。然而，我们发现，在控制了时变风险厌恶和投资者情绪的影响后，没有证据表明记录的相关性增加来自商品市场冲击。事实上，我们无法拒绝没有传染的假设。我们认为，控制随时间变化的风险厌恶和投资者情绪的影响，以及其他可能导致商品和股票市场价格变动的共同变化的因素，对于准确捕捉这些市场中资产价格之间的关系至关重要。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.