This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling for the effect of time varying risk aversion and investor sentiment, there is no evidence that the documented correlation increase originates from commodity market shocks. Indeed, we are unable to reject the hypothesis of no contagion. We maintain that controlling for the influence of time varying risk aversion and investor sentiment, together with other factors which potentially cause common variation across price movements in commodity and equity markets, is essential to accurately capturing the relationship between asset prices in these markets.

本文重新探讨了 2000 年至 2023 年期间商品出口经济体样本中商品和股票市场之间定价关系的动态。我们确认了这些资产价格在财务困境期间上涨之间的相关性。先前的研究将这种增长归因于大宗商品价格冲击引发的蔓延效应。然而，我们发现，在控制了随时间变化的风险规避和投资者情绪的影响后，没有证据表明记录的相关性增加源于大宗商品市场的冲击。事实上，我们无法拒绝没有传染的假设。我们认为，控制随时间变化的风险规避和投资者情绪的影响，以及可能导致商品和股票市场价格变动共同变化的其他因素，对于准确捕捉这些市场中资产价格之间的关系至关重要。