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Testing for asymmetric causality between U.S. equity returns and commodity futures returns

Author

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  • Nguyen, Duc Khuong
  • Sousa, Ricardo M.
  • Uddin, Gazi Salah

Abstract

This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way around relationships. This asymmetry seems to be more relevant since 2000 than in the nineties, and the asymmetric linkages are observed both when returns are measured in nominal and real terms.

Suggested Citation

  • Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah, 2015. "Testing for asymmetric causality between U.S. equity returns and commodity futures returns," Finance Research Letters, Elsevier, vol. 12(C), pages 38-47.
    • Handle: RePEc:eee:finlet:v:12:y:2015:i:c:p:38-47
    DOI: 10.1016/j.frl.2014.12.002
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    More about this item

    Keywords

    Equity returns; Commodity futures returns; Asymmetric causality;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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