Co-movement between commodity and equity markets revisited—An application of the Thick Pen method

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. •We analyse the interdependence of the returns of commodities and equities.•We use the innovative Thick Pen Measure of Association (TPMA).•Co-movement of equities and energy index futures increases after financialisation.•We find weak long-run co-movement between equity and the softs and livestock.•There are short and long-term asymmetric effects in the data.