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Cited by 44Market Dynamics and VolatilityFinancial Markets and Investment StrategiesEconomics of Agriculture and Food Markets

The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.

Historical Performance of Commodity and Stock Markets

Open access
Zapata, Hector O., Detre, Joshua D., Hanabuchi, Tatsuya·2012·Journal of Agricultural and Applied Economics
DOI 10.1017/s1074070800000468
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Abstract

This paper examines two interrelated issues in commodity markets, namely, the cyclical relationship between stocks and commodities and the function of commodity and agribusiness indexes in portfolios. A high negative correlation has existed between stock and commodity prices over the past 140 years. Moreover, the two markets have alternated in price leadership with 29-32-year cycles. The recent price dominance in agricultural commodities started in 2000, a result supported by the empirical results of the portfolio allocation analysis. For a risk-averse investor, irrespective of the period analyzed, placing funds in agribusiness and/or agricultural commodity indexes was sound investing.

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Registry

Crossref · 10.1017/s1074070800000468

Cites

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Statistics

Figures

Image 1
CC-BY-NC-ND · From the PDF
Figure 2 Stocks versus All Commodities and the CF Cycle
Figure 2 Stocks versus All Commodities and the CF CycleCC-BY-NC-ND · From the PDF
Figure 3 Stocks versus Farm Products and the CF Cycle
Figure 3 Stocks versus Farm Products and the CF CycleCC-BY-NC-ND · From the PDF
Figure 4 Stocks versus Food Products and CF Cycle
Figure 4 Stocks versus Food Products and CF CycleCC-BY-NC-ND · From the PDF
Image 5
CC-BY-NC-ND · From the PDF
Figure 5 Stocks versus Fuel and the CF Cycle
Figure 5 Stocks versus Fuel and the CF CycleCC-BY-NC-ND · From the PDF
Image 7
CC-BY-NC-ND · From the PDF
Figure 6 Stocks versus Metals and the CF Cycle
Figure 6 Stocks versus Metals and the CF CycleCC-BY-NC-ND · From the PDF
Image 9
CC-BY-NC-ND · From the PDF
Image 10
CC-BY-NC-ND · From the PDF

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Citations

Cites

Show all 34 references

Research works printed but not linked: 6

  1. Shiller, Online Data
  2. Damodaran, 2009, Betas by Sector
  3. 2006, MSNBC Online
  4. Kahn, 2008, Agriculture Sector Still Sprouting Winners
  5. Domanski, 2007, Bank for International Settlements Quarterly Review, 53
  6. Bannister, 2002, Equity Research Industrial Portfolio Strategy, Legg Mason

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Metadata

Authors
Zapata, H. O., Detre, J. D., & Hanabuchi, T.
Affiliations
Louisiana State University (US)
Venue
Journal of Agricultural and Applied Economics
Publisher
Cambridge University Press (CUP)
Published
2012-08
Volume
44
Issue
3
Pages
339-357
ISSN
  • 0081-3052 (ISSN-L)
  • 1074-0708
  • 2056-7405
DOI
10.1017/s1074070800000468
OpenAlex
W1932388932
Cited by
44
References
34
Citations by year
2026: 2 · 2025: 2 · 2024: 3 · 2023: 8 · 2022: 1 · 2021: 3 · 2020: 5 · 2018: 2 · 2017: 2 · 2016: 7 · 2015: 1 · 2014: 5 · 2013: 2 · 2012: 1
FWCI
6.89
Type
journal article
Language
en
Open access
Licence
Locations
  • Journal of Agricultural and Applied Economics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • AgEcon Search (University of Minnesota, USA) (submittedVersion, cc-by-nc-nd)
  • AgEcon Search (University of Minnesota, USA)
Funders
  • Harvard University
  • University of Illinois at Urbana-Champaign
  • Harvard Kennedy School
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economics of Agriculture and Food Markets
Keywords
commodity markets, stock market, asset allocation, risk-averse investors, asset diversification

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