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Correlation Matrix Commodities

The document contains correlation matrices showing the correlation between commodity prices traded on the MCX exchange. It shows correlations between prices of metals like gold, silver, copper, etc. and industrial commodities like crude oil, natural gas, and agricultural commodities like wheat, maize and others. Most commodities are positively correlated with each other, with correlations ranging from highly positive (near 1) to low negative values.

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nareshrama
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221 views4 pages

Correlation Matrix Commodities

The document contains correlation matrices showing the correlation between commodity prices traded on the MCX exchange. It shows correlations between prices of metals like gold, silver, copper, etc. and industrial commodities like crude oil, natural gas, and agricultural commodities like wheat, maize and others. Most commodities are positively correlated with each other, with correlations ranging from highly positive (near 1) to low negative values.

Uploaded by

nareshrama
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Gold

1
Gold
0.9362
Silver
0.7393
Copper
0.7921
Zinc
0.4446
Nickel
0.7603
Lead
0.6872
Aluminium
0.6297
Crude Oil
0.1333
Natural Gas
0.8444
Platinum
-0.2365
Steel
0.3189
CER
0.1523
CFI
-0.3439
Electricity
-0.5166
USDINR
Dollar Index
-0.3554
Source: MCX; RBI; ICE

Silver

Copper

Zinc

Nickel

Lead

1
0.8572
0.8843
0.6407
0.8947
0.7686
0.7900
0.0523
0.9035
-0.2871
0.4993
0.3421
-0.3863
-0.6649
-0.4557

1
0.9610
0.8734
0.9682
0.9255
0.9274
-0.1347
0.9192
-0.3116
0.7153
0.6188
-0.3060
-0.6689
-0.5134

1
0.8048
0.9567
0.9348
0.8755
0.1008
0.8958
-0.2214
0.6672
0.5568
-0.3810
-0.7317
-0.5158

1
0.8526
0.8575
0.8667
-0.1992
0.6659
-0.3340
0.7648
0.6650
-0.3033
-0.6516
-0.5180

1
0.8978
0.9062
-0.0585
0.8923
-0.3118
0.7099
0.5795
-0.3579
-0.7012
-0.5238

Correlation Matrix - Non-Agri (MCX Spot prices)


Aluminium Crude Oil Natural Gas Platinum

1
0.8097
0.0738
0.8071
-0.1952
0.6611
0.5474
-0.3739
-0.6519
-0.5142

1
-0.1903
0.8375
-0.3931
0.7639
0.6776
-0.3059
-0.6869
-0.5389

1
-0.1000
0.2704
-0.1533
-0.2058
-0.2976
-0.2388
-0.0659

1
-0.2682
0.5044
0.4193
-0.1938
-0.5573
-0.3995

Steel

CER

CFI

Electricity

USDINR

Dollar Index

1
-0.2962
-0.1897
-0.0323
0.2260
0.1844

1
0.9435
-0.3895
-0.5435
-0.5960

1
-0.2925
-0.4378
-0.5239

1
0.5971
0.4258

1
0.5524

Wheat
Maize
Chana
Rapeseed
Potato (Agra)
Coriander
Pepper
Cumin Seed
Turmeric
Kapas
Chillies
Sugar (Small)
Sugar (Medium)
Refined Soy Oil
Jute Raw
Rubber
Crude Oil
USDINR

Wheat*
1
0.8665
0.6677
0.5939
0.4611
-0.4162
0.8182
0.4592
0.7859
-0.6675
0.5934
0.7867
0.0689
-0.3697
0.5091
0.8128
0.9084
-0.8048

Maize

Chana

1
0.7657
0.6937
0.2910
-0.1846
0.8392
0.5444
0.7638
-0.6735
0.6404
0.7840
-0.0324
-0.2073
0.4136
0.7766
0.7985
-0.7021

1
0.6507
0.1790
-0.1685
0.7566
0.7438
0.8329
-0.3670
0.5568
0.7843
-0.0039
-0.1196
0.3754
0.7114
0.6305
-0.5720

Note: * Relaunched for futures trading on 21st May 2009


# Availibility is from 28th May - 21st November 2009
** Seasonal Availibility is from February - April 2009
Source: MCX; RBI

Rapeseed
Potato (Agra) C#oriander

1
-0.1297
0.2249
0.7037
0.6643
0.7009
-0.6307
0.6776
0.6758
-0.1930
0.2672
0.2595
0.6487
0.4874
-0.7741

1
-0.5079
0.4032
-0.2374
0.3068
-0.2391
0.0297
0.2469
0.6302
-0.6018
0.1607
0.2727
0.6028
-0.1716

1
-0.2325
-0.1928
-0.3290
-0.0997
0.0741
-0.3369
-0.0387
0.4633
-0.4235
-0.4748
-0.5442
0.1184

Correlation Matrix - Agri (MCX sp


Pepper Cumin Seed

1
0.6091
0.8662
-0.5927
0.5996
0.8583
0.1588
-0.1405
0.2673
0.8208
0.8316
-0.7357

1
0.7445
-0.1597
0.4212
0.7300
-0.3966
0.2709
0.4069
0.7628
0.4706
-0.5035

tion Matrix - Agri (MCX spot prices)


Turmeric Kapas ** Chillies Sugar (Small)
Sugar (Medium)
Refined Soy OilJute Raw

1
-0.4361
0.6898
0.9551
0.0554
-0.2081
0.2768
0.8069
0.7910
-0.7200

1
-0.4698
-0.4449
-0.0579
0.0378
-0.3124
-0.4647
-0.5784
0.7170

1
0.6422
0.0022
-0.2686
-0.0576
0.4228
0.4919
-0.5601

1
-0.0066
-0.1673
0.2748
0.8180
0.7784
-0.6889

1
-0.3270
-0.2435
-0.2242
0.1587
0.0152

1
0.1284
-0.0483
-0.3148
0.0562

1
0.6035
0.5334
-0.4364

Rubber

Crude Oil

1
0.8504
-0.6931

1
-0.6869

USDINR

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