Indeed, the received wisdom that emerging market equity returns and commodity prices are tightly linked rests on two key assumptions: First, that the explosive growth in emerging market countries is a major driver of commodity prices. Second, that commodity prices are major determinants of emerging market economic growth, and therefore, equity returns.

According to IC&R, the strong relationship from 1994 through 1999 may have been more coincidental than causal. And they cited some good reasons why emerging markets and commodities might not move in synch over short and longer periods.

For one, both the Emerging Market index and GSCI are very diverse. And regions and countries differ in their usage and production of various commodities. So, for example, while energy is the largest component of the GSCI, energy is not highly correlated across emerging regions. In addition, noncommodity influences, like the Russian default, affect developing countries differently.

Do Emerging Markets Drive Commodity Prices?

The notion that emerging market countries are a major driver of commodity prices also appears to come with caveats. For example, despite recent concern that strong demand from emerging markets would continue unabated despite higher commodity prices - fueling inflation - economists observed that, in fact, rising commodity prices have had an equal, if not greater impact on developing-country demand.

Paul Justice, an analyst with Morningstar's ETF analysis unit, said investors who subscribe to the notion of a commodity bubble, might want to avoid those with a hard assets focus. Countries like Russia, Venezuela and much of the Middle East are heavily dependent on the oil and gas industries. Similarly, many African or Latin American countries are reliant both on industrial metals, such as copper and aluminum, or precious metals - gold, silver or platinum.

Justice contrasted the dynamics of those markets with those of India and China, which benefit from abundant, knowledgeable labor forces.

However, Morningstar itself doesn't buy into the commodity bubble thesis. "Our take is that the recent pullback in commodities is temporary, reflecting cyclical weakness in the U.S. Longer term, there are powerful demand forces," Justice said.

Currently, he thinks the Brazil stock market looks undervalued. He noted that the iShares MSCI Brazil Index (NYSEArca: EWZ) has fallen almost 15%, in lockstep with other emerging markets, even though Brazil's economic growth remains brisk.