Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

【Author】 Hasan, Md Bokhtiar; Hossain, Md Naiem; Junttila, Juha; Uddin, Gazi Salah; Rabbani, Mustafa Raza

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【Abstract】This study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncertainties and GPR. Consistent with earlier studies, our findings indicate that safe-haven traits can alter across frequencies and quantiles. Our findings have significant implications for investors and regulators in hedging and making proper decisions, respectively, under diverse uncertain circumstances.

【Keywords】Uncertainties; COVID-19; Commodities; Safe-haven; DCC-GARCH; Quantile-on-quantile

【发表时间】

【收录时间】2022-09-22

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析