The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures.

Amihud COVID-19 Commodities Futures Gold Oil Pandemic Silver Speculation

Journal

Journal of behavioral and experimental finance
ISSN: 2214-6350
Titre abrégé: J Behav Exp Finance
Pays: Netherlands
ID NLM: 101668718

Informations de publication

Date de publication:
Jun 2021
Historique:
received: 22 01 2021
revised: 14 03 2021
accepted: 15 03 2021
entrez: 26 12 2022
pubmed: 1 6 2021
medline: 1 6 2021
Statut: ppublish

Résumé

We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s' recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.

Identifiants

DOI: 10.1016/j.jbef.2021.100498 PMID: 36570102 PMC: PMC9765866
pubmed: 36570102
doi: 10.1016/j.jbef.2021.100498
pii: S2214-6350(21)00042-3
pmc: PMC9765866
doi:

Types de publication

Journal Article

Langues

eng

Pagination

100498

Informations de copyright

© 2021 Elsevier B.V. All rights reserved.

Références

Financ Res Lett. 2020 Jul;35:101607
pubmed: 32550843

Auteurs

Imtiaz Sifat (I)

Department of Finance, School of Business, Monash University (Malaysia Campus), Bandar Sunway, Selangor, 47500, Malaysia.

Abdul Ghafoor (A)

Department of Finance, School of Business, Monash University (Malaysia Campus), Bandar Sunway, Selangor, 47500, Malaysia.

Abdollah Ah Mand (A)

Department of Economics and Finance, Sunway University Business School, Sunway University, No. 5, Jalan Universiti, Bandar Sunway, Petaling Jaya, Selangor 47500, Malaysia.

Classifications MeSH