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- W3123741539 abstract "This study is designed to dissect the covariance patterns of the returns on the commodity and equity markets. Analyzing monthly return data from 1970M1 to 2013M7, we obtain results showing that returns on the commodity and equity markets co-vary weakly in the opposite direction (r = -0.12) in the 1970s, move together in the same (weakly positive) direction (r = 0.18) in the 1980s, then journey in the slightly opposite (r = -0.08) direction again in the 1980s, and run together in the weakly positive (r = 0.19) direction again in the 2000s. Then comes a surprise: In the past 3½ years (from 2010 to 2013M7), there is a significantly positive surge (r = 0.793) in the covariance between the returns on the commodity and equity markets. The OLS estimates show that return on the stock market can significantly (r 2 = 0.63) explain the return variability of the commodity market in the 2010s, as compared to other periods." @default.
- W3123741539 created "2021-02-01" @default.
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- W3123741539 date "2014-05-31" @default.
- W3123741539 modified "2023-09-27" @default.
- W3123741539 title "Covariance Patterns of the Commodityand Equity Markets: A Recent Surprise" @default.
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- W3123741539 doi "https://doi.org/10.3905/jii.2014.5.1.033" @default.
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