A dataset on tail risk of commodities markets

Robert J. Powell, Duc H. Vo, Thach N. Pham, Abhay K. Singh

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This article contains the datasets related to the research article “The long and short of commodity tails and their relationship to Asian equity markets”(Powell et al., 2017) [1]. The datasets contain the daily prices (and price movements) of 24 different commodities decomposed from the S&P GSCI index and the daily prices (and price movements) of three share market indices including World, Asia, and South East Asia for the period 2004–2015. Then, the dataset is divided into annual periods, showing the worst 5% of price movements for each year. The datasets are convenient to examine the tail risk of different commodities as measured by Conditional Value at Risk (CVaR) as well as their changes over periods. The datasets can also be used to investigate the association between commodity markets and share markets.

LanguageEnglish
Pages58-62
Number of pages5
JournalData in Brief
Volume15
DOIs
Publication statusPublished - 1 Dec 2017
Externally publishedYes

Fingerprint

Commodity markets
Tail risk
Commodities
Asia
Market index
Equity markets
Market share
South-East Asia
Conditional value at risk

Bibliographical note

Copyright the Author(s) 2017. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Cite this

Powell, Robert J. ; Vo, Duc H. ; Pham, Thach N. ; Singh, Abhay K. / A dataset on tail risk of commodities markets. In: Data in Brief. 2017 ; Vol. 15. pp. 58-62.
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A dataset on tail risk of commodities markets. / Powell, Robert J.; Vo, Duc H.; Pham, Thach N.; Singh, Abhay K.

In: Data in Brief, Vol. 15, 01.12.2017, p. 58-62.

Research output: Contribution to journalArticleResearchpeer-review

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