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THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE

Year 2016, Volume: 8 Issue: 2, 94 - 106, 01.12.2016

Abstract

The sharp increase in commodity prices since 2000s has important effects on
many economic variables. Especially the upward trend in commodity prices had
substantial effects on stock prices. The literature has continuing and growing
interest to the dynamics of commodity price and their significant impact on
economic and financial developments. There is growing evidence that commodity
prices, stock prices moved together, and that the correlations between them have
increased. Many studies investigated the interaction between stock prices and real
and commodity prices and find strong interaction for developed countries.
However, the effect of the commodity prices on stock markets in relatively less
investigated for ECA countries. The purpose of this study is to investigate the
long-run relationship between commodity prices and stock prices in ECA
countries can by using a panel cointegration test.

References

  • Avalos, F. (2011) “Commodity prices: Microeconomic drivers and emerging risks for Latin America”, Papers and Proceedings of the VI International Conference,
  • Challenges of macroeconomic policy in emerging and developing economies, Fondo Latinoamericano de Reservas, October, https://www.flar.net/documentos/4369_Fernando_Avalos.pdf.
  • Black, A. et al. (2014)-“Forecasting Stock Returns: Do Commodity Prices Help?”,
  • Journal of Forecasting,33(8) Büyükşahin, B. Et al. (2010)-“Commodities and Equities: Ever a “Market of
  • One?” The Journal of Alternative Investments, Winter 2010, Vol. 12, No. 3: p. 76.
  • Cooray, A. (2010)- “Do stock markets lead to economic growth?”, Journal of
  • Policy Modelling, 32 (2010), p. 448.
  • Creti, A. et al. (2012)- “On the links between stock and commodity markets’ volatility”, CEP II, Working Paper No:2012-20
  • Chiou, Jer-Shiou; Lee, Yen-Hsien. (2009) “Jump dynamics and volatility: Oil and the stock markets”, Energy, 34.6: 788-796.
  • Demiralay, S. and Ulusoy, V. (2014)- “Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises”, MPRA Paper No. 59727
  • Demirgüç-Kunt, Asli; Levine, Ross, (1996), “Stock markets, corporate finance, and economic growth: an overview”, The World Bank Economic Review, 223
  • Farooki, M. Z. and R. Kaplinsky (2011)- The Impact of China on Global
  • Commodities: The Disruption of the World’s Resource Sector, London: Routledge Filis, George; Degiannakis, Stavros; Floros, Christos, (2011), “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil- exporting countries”, International Review of Financial Analysis, 20.3: 152-164.
  • Gorton, Gary; Rouwenhorst, K. Geert, (2006), “Facts and fantasies about commodity futures”, Financial Analysts Journal, 2006, 62.2: 47-68.
  • Hamilton, James D.,(2003), “What is an oil shock?”. Journal of econometrics, 2: 363-398.
  • Choi, Kyongwook; Hammoudeh, Shawkat, (2010), “Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment” Energy Policy, 2010, 38.8: 4388-4399.
  • Jiménez-Rodrìguez, Rebeca; Sànchez, Marcelo, (2005), “Oil price shocks and real
  • GDP growth: empirical evidence for some OECD countries”, Applied economics, 2: 201-228. Johnson, R., Soenen, L. (2009)- “Commodity Prices and Stock Market Behavior in South American Countries in the Short Run”, Emerging Markets Finance and Trade, 45:4, pp. 69.
  • Keong, C.M, et al. (2014), “Relationship Between Commodities Market and Stock Market: Evidence From Malaysia and China”, Universiti Tunku Abdul
  • Rahman Research Project Kilian, Lutz, (2008) “Exogenous oil supply shocks: how big are they and how much do they matter for the US economy?”, The Review of Economics and Statistics, 90.2: 216-240.
  • Kilian, Lutz; Vigfusson, Robert J.(2011), “Are the responses of the US economy asymmetric in energy price increases and decreases?”, Quantitative Economics, , 2.3: 419-453.
  • Lombardi, M., Ravazzolo, F. (2013) On the correlation between commodity and equity returns: implications for portfolio allocation, BIS Working Papers No 420
  • Nangolo, C., and Musingwini (2012)-“Emprical correlation of mineral commodity prices with Exchange traded mining stock prices”, JSAIMM,111(7), p. 459.
  • Pedroni, Peter, (2004), “Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis”,
  • Econometric Theory, 20.03: 597-625. Pedroni, Peter, (2000), "Fully Modified OLS for Heterogeneous Cointegrated
  • Panels," Department of Economics Working Papers 2000-03, Department of
  • Economics, Williams College. Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics 21, pp. 449.
  • Soucek, Michael (2013), “Crude Oil, Equity and Gold Futures Open Interest Co
  • Movements”, Energy Economics, 40, pp.306. Tang, K., Xiong, W. (2012)-“Index Investment and the Financialization of
  • Commodities”, Financial Analysts Journal, Volume:68, Number: 6, pp. 54. Thuraisamy, K., et al (2012) “The Relationship Between Asian Equity and Commodity Futures Market”, Financial Econometric Series, SWP 2012/07
  • Zapata, H., et al (2012) “Historical Performance of Commodity and Stock
  • Markets”, Journal of Agricultural and Applied Economics, 44,3 (August 2012), pp. 339.
Year 2016, Volume: 8 Issue: 2, 94 - 106, 01.12.2016

Abstract

References

  • Avalos, F. (2011) “Commodity prices: Microeconomic drivers and emerging risks for Latin America”, Papers and Proceedings of the VI International Conference,
  • Challenges of macroeconomic policy in emerging and developing economies, Fondo Latinoamericano de Reservas, October, https://www.flar.net/documentos/4369_Fernando_Avalos.pdf.
  • Black, A. et al. (2014)-“Forecasting Stock Returns: Do Commodity Prices Help?”,
  • Journal of Forecasting,33(8) Büyükşahin, B. Et al. (2010)-“Commodities and Equities: Ever a “Market of
  • One?” The Journal of Alternative Investments, Winter 2010, Vol. 12, No. 3: p. 76.
  • Cooray, A. (2010)- “Do stock markets lead to economic growth?”, Journal of
  • Policy Modelling, 32 (2010), p. 448.
  • Creti, A. et al. (2012)- “On the links between stock and commodity markets’ volatility”, CEP II, Working Paper No:2012-20
  • Chiou, Jer-Shiou; Lee, Yen-Hsien. (2009) “Jump dynamics and volatility: Oil and the stock markets”, Energy, 34.6: 788-796.
  • Demiralay, S. and Ulusoy, V. (2014)- “Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises”, MPRA Paper No. 59727
  • Demirgüç-Kunt, Asli; Levine, Ross, (1996), “Stock markets, corporate finance, and economic growth: an overview”, The World Bank Economic Review, 223
  • Farooki, M. Z. and R. Kaplinsky (2011)- The Impact of China on Global
  • Commodities: The Disruption of the World’s Resource Sector, London: Routledge Filis, George; Degiannakis, Stavros; Floros, Christos, (2011), “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil- exporting countries”, International Review of Financial Analysis, 20.3: 152-164.
  • Gorton, Gary; Rouwenhorst, K. Geert, (2006), “Facts and fantasies about commodity futures”, Financial Analysts Journal, 2006, 62.2: 47-68.
  • Hamilton, James D.,(2003), “What is an oil shock?”. Journal of econometrics, 2: 363-398.
  • Choi, Kyongwook; Hammoudeh, Shawkat, (2010), “Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment” Energy Policy, 2010, 38.8: 4388-4399.
  • Jiménez-Rodrìguez, Rebeca; Sànchez, Marcelo, (2005), “Oil price shocks and real
  • GDP growth: empirical evidence for some OECD countries”, Applied economics, 2: 201-228. Johnson, R., Soenen, L. (2009)- “Commodity Prices and Stock Market Behavior in South American Countries in the Short Run”, Emerging Markets Finance and Trade, 45:4, pp. 69.
  • Keong, C.M, et al. (2014), “Relationship Between Commodities Market and Stock Market: Evidence From Malaysia and China”, Universiti Tunku Abdul
  • Rahman Research Project Kilian, Lutz, (2008) “Exogenous oil supply shocks: how big are they and how much do they matter for the US economy?”, The Review of Economics and Statistics, 90.2: 216-240.
  • Kilian, Lutz; Vigfusson, Robert J.(2011), “Are the responses of the US economy asymmetric in energy price increases and decreases?”, Quantitative Economics, , 2.3: 419-453.
  • Lombardi, M., Ravazzolo, F. (2013) On the correlation between commodity and equity returns: implications for portfolio allocation, BIS Working Papers No 420
  • Nangolo, C., and Musingwini (2012)-“Emprical correlation of mineral commodity prices with Exchange traded mining stock prices”, JSAIMM,111(7), p. 459.
  • Pedroni, Peter, (2004), “Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis”,
  • Econometric Theory, 20.03: 597-625. Pedroni, Peter, (2000), "Fully Modified OLS for Heterogeneous Cointegrated
  • Panels," Department of Economics Working Papers 2000-03, Department of
  • Economics, Williams College. Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics 21, pp. 449.
  • Soucek, Michael (2013), “Crude Oil, Equity and Gold Futures Open Interest Co
  • Movements”, Energy Economics, 40, pp.306. Tang, K., Xiong, W. (2012)-“Index Investment and the Financialization of
  • Commodities”, Financial Analysts Journal, Volume:68, Number: 6, pp. 54. Thuraisamy, K., et al (2012) “The Relationship Between Asian Equity and Commodity Futures Market”, Financial Econometric Series, SWP 2012/07
  • Zapata, H., et al (2012) “Historical Performance of Commodity and Stock
  • Markets”, Journal of Agricultural and Applied Economics, 44,3 (August 2012), pp. 339.
There are 32 citations in total.

Details

Other ID JA33KT28NG
Journal Section Articles
Authors

Mustafa Ildırar This is me

Erhan Iscan This is me

Publication Date December 1, 2016
Published in Issue Year 2016 Volume: 8 Issue: 2

Cite

APA Ildırar, M., & Iscan, E. (2016). THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE. International Journal of Economics and Finance Studies, 8(2), 94-106.
AMA Ildırar M, Iscan E. THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE. IJEFS. December 2016;8(2):94-106.
Chicago Ildırar, Mustafa, and Erhan Iscan. “THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE”. International Journal of Economics and Finance Studies 8, no. 2 (December 2016): 94-106.
EndNote Ildırar M, Iscan E (December 1, 2016) THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE. International Journal of Economics and Finance Studies 8 2 94–106.
IEEE M. Ildırar and E. Iscan, “THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE”, IJEFS, vol. 8, no. 2, pp. 94–106, 2016.
ISNAD Ildırar, Mustafa - Iscan, Erhan. “THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE”. International Journal of Economics and Finance Studies 8/2 (December 2016), 94-106.
JAMA Ildırar M, Iscan E. THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE. IJEFS. 2016;8:94–106.
MLA Ildırar, Mustafa and Erhan Iscan. “THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE”. International Journal of Economics and Finance Studies, vol. 8, no. 2, 2016, pp. 94-106.
Vancouver Ildırar M, Iscan E. THE INTERACTION BETWEEN STOCK PRICES AND COMMODITY PRICES: EASTERN EUROPE AND CENTRAL ASIA CASE. IJEFS. 2016;8(2):94-106.