Co-movement between commodity and equity markets revisited—An application of the Thick Pen method
用厚笔关联度方法分析能源和非能源大宗商品与股票收益的时变联动性，发现金融化后能源指数期货与股票联动增强，而部分商品与股票弱联动为投资者提供多样化收益。
This paper analyses interdependence between the returns of specific energy and non-energy commodities and equities using (i) Thick Pen Measure of Association (TPMA) and (ii) Multi-Thickness Thick Pen Measure of Association (MTTPMA). We capture time-varying co-movement and co-movement across different time scales to analyse the short-term and long-term features of the time series using stationary data. Energy index futures show an increase in co-movement with equities since the start of the financialisation period. There are asymmetric effects in cross-scale co-movement between various commodities and equities. Weak co-movement between equity and specific commodity futures indicates diversification benefits for short-term and long-term investors.