Hedging and diversification across commodity assets

Abid, Ilyes; Dhaoui, Abderrazak; Goutte, Stéphane; Guesmi, Khaled

doi:10.1080/00036846.2019.1693016

Cited by 28 publications

(17 citation statements)

References 51 publications

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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%

“… 2 Our use of spot prices of soft commodities instead of returns in the wavelet coherence analysis is based on existing mainstream studies ( Abid et al, 2020 ; Aloui et al, 2018 ; Cai et al, 2020 ; Kang et al, 2019 ; Pal and Mitra, 2017 ; Z. Umar, Gubareva and Teplova, 2021) that use wavelet coherence and other approaches to investigate safe-haven properties of agricultural commodities, industrial commodities and cryptocurrencies. …”

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confidence: 99%

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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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Section: Data and Research Methodologymentioning

confidence: 99%

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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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“…Previous studies– such as Basher and Sadorsky (2016) ; Abid et al (2020a , b ) – further documented that, in a period of crisis, oil prices and Gold may offer abundant opportunities to hedge against risk. These studies also show strong evidence of the economic benefit of diversification during the crisis period.…”

Section: Introductionmentioning

confidence: 98%

Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?

Tarchella

Dhaoui

2021

Research in International Business and Finance

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“…First, our paper considers for the first time the impact of the COVID-19 on six of the main energy commodities. The choice of energy commodities depends on the fact that they are exploited in industrial applications and used for hedging financial risks as discussed in (Abid et al 2020). As a matter of fact, the COVID-19 epidemic threatened the stability of the oil and gas industries, which were already weakened by the increasing use of renewables.…”

Section: Introductionmentioning

confidence: 99%

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

Andreani

Candila

Morelli

et al. 2021

Risks

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This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The mixed-frequency approach takes advantage of the MIxing-Data Sampling (MIDAS) methods. We compare our results to those obtained by employing two well-known models that do not account for the COVID-19 low-frequency variable, namely the Dynamic EquiCorrelation (DECO) and corrected Dynamic Conditional Correlation (cDCC). Moreover, we consider four possible specifications of the volatility: GARCH, GJR, GARCH-MIDAS, and Double-Asymmetric GARCH-MIDAS. The empirical results show that our approach is statistically superior to other models and represents a valuable methodology that can be used for risk managers, investors, and policy makers to assess the effects of the pandemic on spillovers effects in energy markets.

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Hedging and diversification across commodity assets

Cited by 28 publications

References 51 publications

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

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

Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

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