Sensitivity of stock market indices to commodity prices

@inproceedings{Collard2008SensitivityOS,
  title={Sensitivity of stock market indices to commodity prices},
  author={L. B. Collard and Maurice J. Ades},
  booktitle={SpringSim},
  year={2008}
}
This paper presents two distinct methods used to assess the sensitivity of stock market indices to commodity prices. The methods considered are the period method, and the spike and surge method. The commodities considered are the dollar (or equivalently the money supply index), oil, and gold. Computational results of the sensitivity of stock market indices to commodity prices obtained are presented and discussed. The results suggest that the methods proposed provide a valuable insight on the… CONTINUE READING

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