A dataset on tail risk of commodities markets

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

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)
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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.

Original languageEnglish
Pages (from-to)58-62
Number of pages5
JournalData in Brief
Publication statusPublished - 1 Dec 2017
Externally publishedYes

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.


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