The co-movements between commodity and stock markets in the period of economy downturn on the example of global financial crisis of 2008

Details

Supervisors

Levišauskaitė, Kristina ; Grégoire, Philippe

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion

Abstract

The aim of this paper is to substantiate theoretically the development of the research methodology and to assess empirically the co-movement of commodity and stock markets in the period of global financial crises and in the post-crisis period. The research has been based on the examination of co-movements between crude oil, gold, soybeans, rough rice, wheat, and stock market indexes from different regions such as S&P500, Nasdaq, Euronext 100, FTSE100, BSE30, Nikkei225 and SSEC. The first part of the paper is devoted to the analysis of the previous researches have done in this field. The second part is designed for the methodology development and research hypothesis settlement. The research hypotheses are based on the assumption that there are co-movements and causality between commodity and stock markets. Hypotheses have been tested by using the correlation analysis, annualized standard deviation, and VAR model. The third part of the research provides the results and discussions. We did not find strong evidence of co-movements between the commodities and stock markets. However, our conclusion cannot be considered as a final statement since there are many more different approaches applicable to the examination of this problem.