The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis

Hedge Funds, Funds-of-Funds, and Commodity Trading Advisors

Imperfect Markets and Commodity Prices Under Demand Pull

This paper presents a theoretical view of imperfect market. It concludes that an increase in the price of products does not give any incentive to increasing production which shows the mechanism for upward trends in prices.

Correlations in Commodity Markets

In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the ma...

Have Commodity Index Funds Increased Price Linkages between Commodities? by

The Changing Relationship Between Commodity Prices and Equity Prices in Commodity Exporting Countries

The paper explores the linkage between equity and commodity markets, focusing in particular on its evolution over time. It documents that a country’s equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The...