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Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification

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  • Marcio Genovevo da Costa
  • Nils Donner

Abstract

Commodities are well known to act anti-cyclical to stocks and are therefore used for portfolio diversification. However, various banks, asset managers and hedge funds were inculpated to speculate with agricultural commodities, especially after the food price bubble in 2007/08. This paper aims to investigate whether there is a diversification effect between equity- and commodity markets in the period from 1990 until 2014. We found evidence for a significant relationship between these two asset classes after the financial crisis using a cointegration framework.

Suggested Citation

  • Marcio Genovevo da Costa & Nils Donner, 2016. "Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 24-44, March.
    • Handle: RePEc:ibn:jmsjnl:v:6:y:2016:i:1:p:24-44
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    More about this item

    Keywords

    cointegration; portfolio diversification; agricultural markets; commodity; equity; speculation; food price bubble;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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