Safe-haven properties of soft commodities during times of Covid-19

【Author】 Rubbaniy, Ghulame; Khalid, Ali Awais; Syriopoulos, Konstantinos; Samitas, Aristeidis

【Source】JOURNAL OF COMMODITY MARKETS

【影响因子】3.317

【Abstract】We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities' spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets and for one of the short-term or long-term investors during the times of COVID-19. Our results also show that safe-haven properties of soft commodities are contingent upon the nature of the commodity. The findings of our mean-variance portfolio analysis indicate that the portfolios with commodity futures are less risky and efficient compared to the portfolio containing stocks only, thus robustly supporting the safe-haven properties of soft commodities during COVID-19. Our results not only have important implications for individual investors and asset managers in suggesting particular soft commodities to strengthen safe-haven and diversification features of their portfolios but also can assist the policy makers to understand and disentangle health fear dimension of several interlocking dynamics affecting the spot and futures prices of soft commodities during COVID-19.

【Keywords】Wavelet coherence; Soft commodities; Global Covid-19 fear index

【发表时间】2022 SEP

【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