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Testing for asymmetric causality between U.S. equity returns and commodity futures returns
Finance Research Letters (2015)
  • Duc Khuong Nguyen
  • Ricardo Sousa
  • Gazi Salah Uddin
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.
Keywords
  • Equity returns; Commodity futures returns; Asymmetric causality
Publication Date
February, 2015
Citation Information
Duc Khuong Nguyen, Ricardo Sousa and Gazi Salah Uddin. "Testing for asymmetric causality between U.S. equity returns and commodity futures returns" Finance Research Letters (2015)
Available at: http://works.bepress.com/duckhuong_nguyen/28/