Ποιοι παράγοντες καθορίζουν τη συσχέτιση ανάμεσα στην αγορά εμπορευμάτων και τις χρηματιστηριακές τιμές;
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Keywords
Συσχέτιση μετοχών και εμπορευμάτων ; Βιομηχανικά και γεωργικά εμπορεύματα ; Οικονομικός κύκλοςAbstract
The commodities are considered very significant goods for the daily life and survival of the people. Recently, the commodities have created huge investing interest and are included more and more in the investor’s portfolios. The commodities are distinguished in agricultural and non-agricultural.
The prices of commodities can be affected by different factors, such as, the offer and demand of commodities, exchange rates, inflation and the entire healthy economy.
It was considered to be of exceptional interest to emerge which factors affect the correlation between stocks and commodities. Therefore, it was very important to examine the statistical model with dependent variable, stock-commodity correlation, and the independent variables, (1) the stock-commodity correlation of the previous time period, (2) Kilian Ship Index, (3) Gross Domestic Product (GDP), (4) Inflation, (5) Default Spread.
As it is analyzed in the following study, the variable stock-commodity correlation of the previous time period was proved to be statistically significant at a general level. The rest independent variables were not statistically significant, except from the Default Spread, which was marginally non statistically significant.
It is worth mentioning that during periods of economic weakness, the stock-commodity correlation is very high compared to the periods of economic recovery. The stock-nonagricultural commodities correlation turned out to be stronger than the corresponding stock-agricultural commodities correlation.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στις Χρηματοδοτήσεις και Επενδύσεις - Finance and InvestmentsDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
57Language
Greek
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα