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Co-Integration and Causality between Equity and Commodity Futures: Implications for Portfolio Diversification
This paper examines the long term statistical relationship of commodity future prices with equity prices using various tools including Augmented Dickey Fuller Test, Vector Auto Regression and Johansen’s Cointegration technique. The paper also investigates the short term dynamics of prices by testing for the existence and direction of inter-temporal Granger-causality between the indices. The analysis shows that there is no long term cointegration between the commodity future prices and equity prices therefore, an investor with long term investment horizon would benefit by including commodity futures to a traditional portfolio.
