Stock Market
On the Determinant of Commodity Houses’ Stock Prices
Créé le
09.07.2018-
Mis à jour le
13.07.2018Le lien entre la rentabilité des actions d’une entreprise de négoce et les matières premières qu’elle traite est étudié dans cet article, à travers le cas particulier de la société Glencore. A partir d’un échantillon de 8 matières premières analysées entre le 5 août 2011 et le 9 mai 2017, il ressort qu’il existe de forts liens, sur des phases de long terme comme de court terme pour certaines d'entre elles.
This paper’s main focus is to investigate the link between commodity power house Glencore’s stock return, and the very commodities it trades. We have worked over a sample of 8 commodities, including Aluminum, Brent, Copper, Corn, Nickel, Wheat, WTI and Zinc, taken between the 5th of August, 2011 and the 9th of May, 2017. We were keen to assess the long and short term link between Glencore and one or more of our variables, using cointegration analysis and auto-regressive distributed lag models. Our findings show that there are strong links on the long term and the short term between ...
