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Historical Performance of Commodity and StockMarkets

Published online by Cambridge University Press:  26 January 2015

Hector O. Zapata ,
Joshua D. Detre  and
Tatsuya Hanabuchi
Hector O. Zapata
Affiliation:
Department of Agricultural Economics and Agribusiness, Louisiana State University Agricultural Center, Baton Rouge, Louisiana
Joshua D. Detre
Affiliation:
Department of Agricultural Economics and Agribusiness, Louisiana State University Agricultural Center, Baton Rouge, Louisiana
Tatsuya Hanabuchi
Affiliation:
Department of Agricultural Economics and Agribusiness, Louisiana State University Agricultural Center, Baton Rouge, Louisiana
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Extract

This paper examines two interrelated issues in commodity markets, namely,the cyclical relationship between stocks and commodities and the function ofcommodity and agribusiness indexes in portfolios. A high negativecorrelation has existed between stock and commodity prices over the past 140years. Moreover, the two markets have alternated in price leadership with29-32-year cycles. The recent price dominance in agricultural commoditiesstarted in 2000, a result supported by the empirical results of theportfolio allocation analysis. For a risk-averse investor, irrespective ofthe period analyzed, placing funds in agribusiness and/or agriculturalcommodity indexes was sound investing.

Keywords

agribusiness stocksagricultural commoditiesinvestmentportfoliosstock market indexesG10GliQ13
Type
Invited Paper Sessions
Information
Journal of Agricultural and Applied Economics , Volume 44 , Issue 3 , August 2012 , pp. 339 - 357
Copyright
Copyright © Southern Agricultural Economics Association 2012

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