CEPII, Recherche et Expertise sur l'economie mondiale
On the links between stock and commodity markets' volatility

Anna Creti
Marc Joëts
Valérie Mignon

 Highlights :

 Abstract :
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.

 Keywords : commodities | stock market | financial crisis | volatility | correlations | DCC-GARCH

 JEL : C22, G01, G10, Q4
CEPII Working Paper
N°2012-20, October 2012

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 Fields of expertise

Money & Finance