This paper examines the financialization of commodity markets by modeling the extreme dependence between equity and commodity indices through copula functions. Using daily data from 2003 to 2025 for the S&P 500 and the Reuters/Jefferies CRB Total Return Index, we estimate both overall and tail dependence coefficients and track their evolution within rolling windows. This approach enables the detection of structural shifts in the joint behavior of the two markets during periods of financial and geopolitical stress. The results indicate a significant, asymmetric, and time-varying extreme dependence, particularly pronounced during crisis episodes, implying a substantial erosion of diversification benefits when markets are under stress. The proposed copula-based framework provides a robust statistical tool to capture nonlinear co-movements and to quantify the strength and asymmetry of financial integration between commodities and equities under extreme conditions.
Badaoui et al. (2025) studied this question.