We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor for the FX market; and -27.8% with an interest-rate level risk factor for the US interest rate market. Thus, a part of the systematic variation in the commodity market is integrated with other asset classes.
CITATION STYLE
Kunkler, M. (2017). Commodity Market Heterogeneity and Cross-Market Integration. Applied Finance Letters, 6(01), 16–27. https://doi.org/10.24135/afl.v6i01.61
Mendeley helps you to discover research relevant for your work.