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Commodity market based hedging against stock market risk in times of financial crisis : the case of crude oil and gold

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Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis : The Case of Crude Oil and Gold

Junttila, Juha-Pekka - 2017

Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between...

Persistent link: https://www.econbiz.de/10012949196