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.

本文使用 (i) 粗笔关联度量 (TPMA) 和 (ii) 多厚度粗笔关联度量 (MTTPMA) 分析了特定能源和非能源商品与股票的回报之间的相互依存关系。我们捕获不同时间尺度的时变联动和联动，以使用固定数据分析时间序列的短期和长期特征。自金融化时期开始以来，能源指数期货显示出与股票的联动性增加。各种商品和股票之间的跨尺度联动存在不对称效应。股票和特定商品期货之间的弱联动表明短期和长期投资者的多元化收益。