The correlation and hedging effects between commodity and stock markets
The correlation and hedging effects between commodity and stock markets
This study uses the Rogers International Commodity Index (RICI) for composite commodities and RICI-Agriculture (RICA), RICI-Energy (RICIE), and RICI-Metals (RICIM) indices to examine the relationship between various commodity and stock markets. The empirical results indicated that stable long-term relationships exist between some commodity and stock markets, and that commodity indices generally lead stock market indices. Thus, in a number of countries/regions, investors can predict fluctuations