Impact of Commodity Market Risk on Listed Companies

Abstract

Commodity market is one of the most important element of the global economy as a global mechanism of valuation and distribution of goods, it has additionally become a kind of barometer of investor attitudes. This applies to companies whose operations are strongly related to the commodity market. The impact of market risk of commodities on the value of a company and its solvency is possible, when there is a correlation between the prices of commodities and share prices of the company. These types of relationships are not yet fully understood. This is due to the complexity of the processes that shapes the relationship between commodity markets and stock market. The purpose of this article is to assess the credit risk of listed companies whose activities are related to commodity markets, which means they are exposed to the market risk of commodities. Two stock markets have been selected for this purpose: the Italian market with a mature and well-established position in the global capital trading system and the stock market in Poland as representatives of developed economy, characterized by different stage of institutional development. In the opinion of the authors, companies with a significant difference in the probability of default for the baseline and crisis scenario are more exposed to the impact of commodity market risk.