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Stocks, Commodities And Business Cycle Fluctuations – Seeking The Diversification Benefits

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  • Radoslaw Kurach

    (Wroclaw University of Economics, Poland)

Abstract

In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtained results indicate that Precious Metal and Livestock are valuable equity portfolio diversifiers, while Industrial Metals volatility has much in common with the fluctuations of broad stock market.

Suggested Citation

  • Radoslaw Kurach, 2012. "Stocks, Commodities And Business Cycle Fluctuations – Seeking The Diversification Benefits," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 7(4), pages 101-116, December.
    • Handle: RePEc:pes:ierequ:v:7:y:2012:i:4:p:101-116
    DOI: 10.12775/EQUIL.2012.029
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    References listed on IDEAS

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    More about this item

    Keywords

    stock and commodity markets; diversification benefits; business cycle fluctuations;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F30 - International Economics - - International Finance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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