Nguyen, Duc Khuong; Sousa, Ricardo M.; Uddin, Gazi Salah - In: Finance Research Letters 12 (2015) C, pp. 38-47
This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way...