Samuelson and Co - Revisiting the Relationship Between Equity and Commodity Markets: It's Complicated

This paper analyzes commodity pricing within a unified framework that explores the interplay of (i) seasonality, (ii) the Samuelson maturity effect, (iii) the Samuelson correlation effect, and (iv) the increasing integration with equity markets. Key findings include: (1) index commodities exhibit higher volatility than off-index commodities, (2) financialisation reduces seasonality in price volatility for some index commodities, (3) while the Samuelson (1965) maturity effect—suggesting lower volatility in longer-dated contracts—persists, it has weakened since financialisation, and (4) no evidence of a Samuelson correlation effect between equity and commodity markets post-financialisation is observed.

Manuscript in preparation for the Journal of Empirical Finance