A1 Journal article (refereed)
Do commodity assets hedge uncertainties? : What we learn from the recent turbulence period? (2022)
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
JYU authors or editors
Publication details
All authors or editors: Hasan, Md. Bokhtiar; Hossain, Md. Naiem; Junttila, Juha; Uddin, Gazi Salah; Rabbani, Mustafa Raza
Journal or series: Annals of Operations Research
ISSN: 0254-5330
eISSN: 1572-9338
Publication year: 2022
Publication date: 12/09/2022
Volume: Online first
Publisher: Springer Science and Business Media LLC
Publication country: Netherlands
Publication language: English
DOI: https://doi.org/10.1007/s10479-022-04876-0
Publication open access: Openly available
Publication channel open access: Partially open access channel
Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/83632
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: markets (systems); international market; commodities; price development; soybeans; virtual currency; economic crises; financial crises; COVID-19; investment activities
Free keywords: uncertainties; COVID-19; commodities; safe-haven; DCC-GARCH; uantile-on-quantile
Contributing organizations
Ministry reporting: Yes
Reporting Year: 2022
JUFO rating: 1
