Journal
FINANCE RESEARCH LETTERS
Volume 12, Issue -, Pages 38-47Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2014.12.002
Keywords
Equity returns; Commodity futures returns; Asymmetric causality
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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. (C) 2014 Elsevier Inc. All rights reserved.
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