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The links between energy and non-energy commodity futures markets have deepened in recent times. Theoretical and empirical analyses jointly suggest that the correlations among commodity futures, as well as the equity-commodity correlations, increase with the financialization of these commodity markets. The observed increase in correlations between commodities might thus limit the benefits of a diversification strategy from equity to commodity futures markets. Understanding the dynamics of the correlations between these markets is essential to develop accurate asset pricing models and hedging strategies, as well as to minimize the contagion risk in the occurrence of a crash in one of these markets.

Understanding Dynamic Conditional Correlations between Oil, Natural Gas and Non-Energy Commodity Futures Markets