Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach

Hernandez, Jose Areola; Shahzad, Syed Jawad Hussain; Uddin, Gazi Salah; Kang, Sang Hoon

doi:10.1016/j.resourpol.2018.11.007

Cited by 49 publications

(23 citation statements)

References 39 publications

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“…These results, as also established in the case of gold, are suggestive that each of the precious metals are optimal investment safe haven for crude oil investment risks since the outbreak of COVID-19. In addition, the computed hedge ratios further establish that risks associated with crude oil returns can be hedged by taking a short position in either of these assets (see also ( Bhatia et al, 2020 ; Dutta et al, 2019 ; Hernandez et al, 2019 ; Yıldırım et al, 2020 ).…”

Section: Resultsmentioning

confidence: 76%

Hedging oil price risk with gold during COVID-19 pandemic

2021

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This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find gold as a significant safe haven against oil price risks. The optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil. The robustness of our results is further confirmed using three other prominent precious metals - silver, platinum, and palladium. In sum, our results are useful for investors and portfolio managers that are desirous of using gold and other precious metals as portfolio rebalancing tools to minimize or circumvent risks associated with volatile oil returns.

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Section: Resultsmentioning

confidence: 76%

Hedging oil price risk with gold during COVID-19 pandemic

2021

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“…A. Hernandez, Shahzad et al, 2019 ; Uddin et al, 2019 ), DCC-GARCH approach ( Abid et al, 2020 ; Akhtaruzzaman et al, 2021 ; Burdekin and Tao, 2021 ; Kinateder et al, 2021 ) and rolling window approach ( Bouri et al, 2020 , 2021 ). These methods ignore the frequency dependencies of the data in empirical estimations.…”

Section: Data and Research Methodologymentioning

confidence: 99%

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

Rubbaniy

Khalid

Syriopoulos

et al. 2022

Journal of Commodity Markets

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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.

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“… Al-Khazali et al, 2014 , Arshian et al, 2020 , Ashraf et al, 2020 , Balcilar et al, 2015 , Diebold and Yılmaz, 2014 , Goodell and Goutte, 2020 , Hernandez et al, 2019 , Lin and Su, 2021 , Marfatia et al, 2020 , Dwita Mariana et al, 2021 , Mroua et al, 2020 , Muteba Mwamba et al, 2017 , Platanakis et al, 2019 , Rehman and Vo, 2020 , Salisu and Sikiru, 2020 , Umar and Gubareva, 2020 .…”

Section: Uncited Referencesmentioning

confidence: 99%

Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?

Shahzad

Naifar

2022

The North American Journal of Economics and Finance

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The recent COVID-19 pandemic intensification generates a different set of challenges for global financial markets and portfolio management strategies. This paper uses network analysis to investigate the static and dynamic dependence within Islamic and conventional equity sectors. The study focuses on the decoupling hypothesis and how the dependence among sectors changes during COVID19. Empirical findings indicate a higher degree of spillover during the COVID19 sub-period. Islamic and conventional equities behave differently in terms of industry-level dependence during normal and crisis times, thus decoupling. Further, the dependence effect between conventional equity returns is stronger than Islamic equity returns during the COVID-19 pandemic. The finding of this paper has several significant implications for portfolio selection and risk management. Portfolios consisting of Islamic equity sectors including industrials, basic materials, consumer services, and technologies highlight low-diversification benefits across the entire sample period. Also, investment exposure to less connected Islamic and conventional equity sectors provides a good diversification strategy.

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Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach

Cited by 49 publications

References 39 publications

Hedging oil price risk with gold during COVID-19 pandemic

Hedging oil price risk with gold during COVID-19 pandemic

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

Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?

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