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Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?

The extent to which prices of commodities such as oil and gold affect stock prices of firms engaged in their production, and in the stock market in general, has received attention in both the theoretical and empirical literature with mixed results. Instead of focusing on the direct relation between prices, this paper investigates the relation between different market phases. Specifically, it identifies bull and bear markets in commodity prices and in stock prices of firms whose primary business involves mining and marketing the relevant commodities, and investigates whether a relationship between them exists. The aggregate indices of the sectors related to commodities and the market overall are also considered. The empirical analysis is conducted for the Canadian stock market due to the importance that mining and energy stocks have in its composition. The results suggest that there is little evidence that the market phases identified for the individual stocks are related to those for the commodity prices.