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Testing for asymmetric causality between US equity returns and commodity futures returns
IPAG Business School, Paris, France.
University of Minho, Portugal; London School of Economics and Political Science, United Kingdom.
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi. Linköpings universitet, Filosofiska fakulteten.
2015 (engelsk)Inngår i: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 12, s. 38-47Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way around relationships. This asymmetry seems to be more relevant since 2000 than in the nineties, and the asymmetric linkages are observed both when returns are measured in nominal and real terms.

sted, utgiver, år, opplag, sider
Elsevier , 2015. Vol. 12, s. 38-47
Emneord [en]
Equity returns; Commodity futures returns; Asymmetric causality
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-115330DOI: 10.1016/j.frl.2014.12.002ISI: 000349511700006OAI: oai:DiVA.org:liu-115330DiVA, id: diva2:795055
Tilgjengelig fra: 2015-03-13 Laget: 2015-03-13 Sist oppdatert: 2017-12-04

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