摘要： This study uses the Rogers International Commodity Index (RICI) for composite commodities and RICI-Agriculture (RICA), RICI-Energy (RICIE), and RICI-Metals (RICIM) indices to examine the relationship between various commodity and stock markets. The empirical results indicated that stable long-term relationships exist between some commodity and stock markets, and that commodity indices generally lead stock market indices. Thus, in a number of countries/regions, investors can predict fluctuations in stock prices using variations in commodity indices. However, the RICI composite commodities index, RICIA agricultural commodity index, and RICIM metals index are subject to the influence of the U.S. stock market. Furthermore, when serious crises or high volatility occurs in stock markets, investors can use the RICIM metals index as a safe haven asset, incorporating it into investment portfolios to reduce risk. Under normal stock market circumstances, no hedging effects exist between commodity market indices and stock markets. Consequently, investors cannot use commodity indices as hedging instruments.
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