ABSTRACT. Noticing the sharp upsurge in commodity markets, some may ask whether commodity markets these days move in sync with traditional financial assets. This paper tests the extent of cointegration among commodity markets and equity markets by using JJ test and captures the speed of adjustment to divinations in long run equilibrium in the markets by using vector error correction model. This extant research has recognized that the commodity markets and equity markets have recently become much more closely linked. By applying dynamic correlation and cointegration techniques, the study shows that there has been a degree of comovement between commodity and equity market indices especially after the global financial crisis. pp. 66–85
JEL Classification: D53, E32, G10, G13, G01, G11, G15, G18, N20
Keywords: commodity markets, capital markets, co-movement and cointegration, financial crises, business fluctuations, cycles portfolio choice, investment decisions, international financial markets, government policy and regulation, financial markets and institutions