Do commodity assets hedge uncertainties? : What we learn from the recent turbulence period?
Hasan, M. B., Hossain, M. N., Junttila, J., Uddin, G. S., & Rabbani, M. R. (2022). Do commodity assets hedge uncertainties? : What we learn from the recent turbulence period?. Annals of Operations Research, Online first. https://doi.org/10.1007/s10479-022-04876-0
Julkaistu sarjassa
Annals of Operations ResearchTekijät
Päivämäärä
2022Oppiaine
Jyväskylä International Macro & FinancePäätöksentekoa tukeva taloustiede ja talouden kilpailukyky (painoala)ResurssiviisausyhteisöTaloustiedeBasic or discovery scholarshipJyväskylä International Macro & FinancePolicy-Relevant Economics and Competitiveness of Economy (focus area)School of Resource WisdomEconomicsBasic or discovery scholarshipTekijänoikeudet
© The Author(s) 2022
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.
Julkaisija
Springer Science and Business Media LLCISSN Hae Julkaisufoorumista
0254-5330Asiasanat
Julkaisu tutkimustietojärjestelmässä
https://converis.jyu.fi/converis/portal/detail/Publication/159239638
Metadata
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Lisätietoja rahoituksesta
Open access funding provided by Linköping University. No funding was received for conducting this study.Lisenssi
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