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Academic literature on the topic 'Bloomberg commodity index'
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Journal articles on the topic "Bloomberg commodity index"
1
Zapata, Hector O., Junior E. Betanco, Maria Bampasidou, and Michael Deliberto. "A Cyclical Phenomenon among Stock & Commodity Markets." Journal of Risk and Financial Management 16, no. 7 (2023): 320. http://dx.doi.org/10.3390/jrfm16070320.
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Considerable studies have examined the relationship between commodity markets and stock markets. This paper studies the cyclical relationship between commodity markets and stock markets with implications for investing based on index relationships. Stock markets are represented by the U.S. S&P 500 index and aggregate commodity markets by the U.S. producer price index (PPI). Tradeable market indexes readily available to investors, namely the S&P GSCI Index and the Bloomberg Commodity Index (BCOM), are also studied. An optimal bandpass filter is used to estimate the cyclical component using a pricing-performance measure of the S&P 500 relative to the PPI, based on annual data from 1871 to 2022. The S&P GSCI and the BCOM indexes are also used to test the robustness of the findings. The impacts of the financial crisis of 2008 and the coronavirus pandemic are also assessed. The overriding conclusion of the study is that a cyclical relationship exists between stock markets and commodity markets for both aggregate and tradeable indexes which can last, from peak to peak, approximately 31 years. Measuring returns and risks in a manner consistent with these cycles can shed new light on the usefulness of commodity investing via tradeable indexes in seeking efficient portfolios.
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Shahzad, Umer, Sangram Keshari Jena, Aviral Kumar Tiwari, Buhari Doğan, and Cosimo Magazzino. "Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices." Resources Policy 78 (September 2022): 102823. http://dx.doi.org/10.1016/j.resourpol.2022.102823.
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Krawiec, Monika. "Commodities Versus Stocks: Analysis of Their Performance from 2009 Through 2015." European Journal of Multidisciplinary Studies 3, no. 1 (2016): 8. http://dx.doi.org/10.26417/ejms.v3i1.p8-20.
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Although over the last several years one could have witnessed unprecedented interest in commodity investments, the view of commodities from an investor’s perspective is of more recent date (with the exception of precious metals). There are several reasons for investing in commodities. First of all, they let investors gain equity-like or higher returns. Then, they can help to mitigate risk and improve portfolio diversification. They can also provide a possible hedge against unanticipated inflation. The growing popularity of commodity investing has been followed by a great number of new investment vehicles that make commodity investments available to a wider audience. Thus, investors based on their risk-return criteria and individual requirements may select from a broad range of commodity-linked financial instruments. One of possibilities is investing through a commodity index. This approach is especially attractive to investors that are familiar with investing in stock indexes. In theory, commodity indexes share a similar goal: to create a broad indicator of commodity price movements, though in practice portfolio weightings, construction, and calculation methodology vary significantly from one index to another. The most important of commodity indexes are: the Thomson Reuters/Core Commodity CRB Index, the S-P Goldman Sachs Commodity Index, the Bloomberg Commodity Index (former Dow-Jones AIG Commodity Index), and the Deutsche Bank Liquid Commodity Index. The present paper is aimed at assessing return and risk characteristics of these indexes and at providing a comparative analysis of their performance in relation to the most important equity indexes, such as S-P500, FTSE100, CAC40, DAX, WIG, BUX, IBovespa, Nikkei, Shanghai Composite (SSE), TSE300 (current S-P/TSX Composite Index), and AOI (All Ords). The empirical data covers daily quotations from January 5, 2009 to December 30, 2015. To verify whether the commodity indexes returns differ significantly from the returns of equity indexes, the nonparametric Mann-Whitney test is applied. The test has been chosen as returns of commodity indexes are not normally distributed.
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Baghlaf, Naif, Rozina Shaheen, and Lindos E. Daou. "Explaining REIT returns in emerging economies: A Fama-French approach with foreign investment and political stability." International Journal of ADVANCED AND APPLIED SCIENCES 12, no. 1 (2025): 7–18. https://doi.org/10.21833/ijaas.2025.01.002.
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This study examines the applicability of the Fama-French 3-factor model to Real Estate Investment Trusts (REITs) in emerging economies using monthly data from January 2016 to December 2023 for 23 REITs across five emerging markets. A Generalized Method of Moments (GMM) (system) approach assesses the impact of 12 explanatory variables, including traditional factors like market, value, size, and momentum premiums, as well as emerging market-specific factors such as the Morgan Stanley Capital International (MSCI) Emerging Markets Currency Index and Bloomberg Commodity Ex-Agriculture Index. Control variables like political stability, foreign direct investment, and portfolio investment are also included. The results show that value premium, foreign direct investment, portfolio investment, and commodity prices positively influence REIT excess returns, while momentum premium and political instability negatively affect them. These findings highlight the combined importance of traditional and emerging market-specific factors, emphasizing the critical role of stable political conditions for REIT performance. This research contributes valuable insights for investors and policymakers in understanding REIT dynamics in emerging markets.
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Monge, Manuel, and Ana Lazcano. "Commodity Prices after COVID-19: Persistence and Time Trends." Risks 10, no. 6 (2022): 128. http://dx.doi.org/10.3390/risks10060128.
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Since December 2019 we have been living with the virus known as SARS-CoV-2, a situation which has led to health policies being given prevalence over economic ones and has caused a paralysis in the demand for raw materials for several months due to the number confinements put in place around the world. Since the worst days of the pandemic caused by COVID-19, most commodity prices have been recovering. The main objective of this research work is to learn about the evolution and impact of COVID-19 on the prices of raw materials in order to understand how it will affect the behavior of the economy in the coming quarters. To this end, we use fractionally integrated methods and an Artificial Neural Network (ANN) model. During the COVID-19 pandemic episode, we observe that commodity prices have a mean reverting behavior, indicating that it will not be necessary to take additional measures since the series will return, by themselves, to their long term projections. Moreover, in our forecast using ANN algorithms, we observe that the Bloomberg Spot Commodity Index will recover its upward trend, increasing some 56.67% to the price from before the start of the COVID-19 pandemic episode.
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Dr., Andam Dewi Syarif MM, and Nur Fauziah SE MSc.IBF Najim. "Determinant of Forex Rolling Spot Contracts on Indonesia Commodity andDerivative Exchange (ICDX)." Journal of Economics, Finance and Management Studies 06, no. 08 (2023): 3918–28. https://doi.org/10.5281/zenodo.8267232.
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One of the derivative futures contract types is the Forex Rolling Spot Contracts (FRSC) traded in the Indonesia Commodity and Derivatives Exchange (ICDX). So far, no research has been conducted on this product type, which can be used as an investor reference. This study aims to find empirical evidence of how far macroeconomic variables affect the returns of ten FRSC investment instruments: AUD/USD, EUR/USD, GBP/USD, USD/JPY, USD/CHF, GBP/JPY, EUR/JPY, AUD/NZD, NZD/USD, and USD/CAD traded at ICDX during the period 2021 - 2022. The statistical analysis method used in this research is quantitative with descriptive explanations. Data collection techniques were obtained from secondary data through library research. Secondary data was obtained through the internet sites of ICDX, Indonesia Stock Exchange (IDX), Bank Indonesia, London Bullion Metal Association, Bloomberg, and the US Energy Information Administration. The analytical method used in this study is panel data analysis. The study type was an explanatory study with data processing using the STATA application. The study results showed that the determinant of interest rate and inflation did not affect FRSC return; JCI return and gold price return had a significant positive on FRSC return; bond index return and crude oil price return had a negative effect on FRSC return.
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Denie, Jo, Surachman, Nur Khusniyah Indrawati, and Mintarti Rahayu. "Nexus Between Oil, Gold Price and Dxy Index on Indonesian Stock Market During Geopolitical Events (2022 – 2024)." Revista de Gestão Social e Ambiental 18, no. 6 (2024): e06634. http://dx.doi.org/10.24857/rgsa.v18n6-142.
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Objective: The aim of this study is to observe the impact of oil, gold, and the DXY index on the Indonesian stock market during geopolitical events in 2022-2024. Theoretical Framework: Rising political tensions also have a major impact on global currencies, financial market and commodity market. This event lead to uncertainty which increasing the investment risk. Hence, geopolitical events could affect stock return in capital market. Method: The data used consists of daily Jakarta Composite Index (JCI) closing data, WTI daily closing prices, gold daily closing prices, and DXY closing data from 24 February 2022 – 31 December 2022 and 14 April 2024 – 30 April 2024. Data obtained form Bloomberg. The analysis technique used was GARCH (1.1). Results and Discussion: The results showed that WTI oil price changes had significant positive effects on stock return in Indonesia. However, gold price changes had insignificant positive effects on stock returns in Indonesia during geopolitical events, while the DXY Index had insignificant, negative effects. Research Implications: Investors and traders in Indonesia Stock Exchange should consider oil price changes for investing in stocks during geopolitical events. Originality/Value: This study contributes to literatures regarding the stock market turbulence during geopolitical events and its effect toward stock return. The relevance and value of this research are evidenced by the insignificanct effect of gold and DXY toward stock return, while WTI has significant effect toward stock return.
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Liberda, Matěj. "Mixed-frequency Drivers of Precious Metal Prices." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 65, no. 6 (2017): 2007–15. http://dx.doi.org/10.11118/actaun201765062007.
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Lack of intrinsic value, hybrid nature of commodities and recent financialization of commodity markets make of understanding precious metals price moves complicated. Predicting future development of precious metals market can be more feasible if we discover what drives these markets and describe nature of the drivers. The aim of the paper is to explain metal price movements by assessing an impact of multiple economic and financial factors. Based on the literature review we study 8 possible macroeconomic and financial drivers. The data are collected from Bloomberg. We use mixed-data-sampling methodology that enables me to study drivers of various frequencies (daily and monthly) simultaneously in a single model. Results show that the interest rate, the exchange rate, stock levels, stock index returns and crude oil returns are generally significant to drive precious metal markets. The stock index has the most significant impact on the metals returns that is negative. Furthermore, the results divide precious metals into two groups with gold and silver on the one hand and platinum and palladium on the other. The first group is worse explained by considered drivers. Moreover, the interest rate does not have any impact on the price development of gold and silver and crude oil returns influence the pair negatively, contrary to the second pair of platinum and palladium.
9
Cantyani, Kasistha, Jason Matthew, Sesilia Rainaputri Jans, and Aureishia Huang. "The Prisoner’s Dilemma: Indonesia and the European Union in Export Commodity Disputes." Jurnal Sentris 4, no. 1 (2023): 86–100. http://dx.doi.org/10.26593/sentris.v4i1.6794.86-100.
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Nickel ore export ban has been imposed by Indonesia as the leading actor on the global nickel supply chain which created a disruption and has not been perceived well by other countries, especially the European Union (EU) countries. This paper will analyze the implications caused by the export ban to EU countries and the actions following it, including the enactment of the palm oil ban. Starting with the World Trade Organization (WTO) panel, the EU’s strategy of forcing Indonesia to lift the export ban has not yet succeeded. With the tit-for-tat strategy, this paper identifies the EU’s palm oil ban as a form of retaliation for the Indonesian nickel ore export ban. Although the tit-for-tat strategy often is used in a positive-sum game, the conflict between Indonesia and the EU is a negative-sum game with both parties putting their economies at risk.
 Keywords: nickel ore export ban, palm oil ban, tit-for-tat strategy, Indonesia, European Union
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Umer, Shahzad, Keshari Jena Sangram, Kumar Tiwari Aviral, Doğan Buhari, and Magazzino Cosimo. "Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices." Resources Policy 78, no. 102823 (2022). https://doi.org/10.1016/j.resourpol.2022.102823.
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The price movement of commodities in general and crude oil, in particular, are critical for both commodity- consuming and producing countries. The prime objective of this study is to examine the characteristic behavior of commodity futures and commodity index and the dynamic relationships between commodity index and commodity futures. The study first investigates the evolution of volatility of Bloomberg commodity index (BCOM) and WTI crude oil (CRUDE) prices at different time scales using Wavelet Power Spectrum Analysis. Second, the correlation and causality between BCOM and CRUDE are investigated using Wavelet Coherency and Phase Difference methodology. The average level volatility of BCOM and CRUDE is different at different time scales. Wavelet Coherence shows that they are correlated in medium to long term periods and not in the short term. Further, during the period of changed correlation structure over the study period, the causality structure between BCOM and CRUDE is also changed at different time scales. Therefore, policy measures to control prices should be different in the short term than in the medium to long term when both the prices are not correlated.