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

Sifat, Imtiaz; Ghafoor, Abdul; Mand, Abdollah Ah

doi:10.1016/j.jbef.2021.100498

Cited by 47 publications

(31 citation statements)

References 43 publications

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“…In respect of the state of art relative to academic research on diverse financial and economic consequences of the pandemic, including design and implementation of policies facilitating recovery from the Covid-triggered slowdown, it is worth acknowledging that the respective literature has recently grown with a rapid pace ( [13][14][15][16][17][18][19][20]; and references therein). However, a major part of academic publications addressing the reaction of financial markets to the pandemic is mostly focused on the stock market impacts ( [3,5,8,9,21,22]; among others), commodities ( [23][24][25][26][27]; among others), currencies and crypto-currencies [28][29][30][31]. However, it is worth noting that the sovereign and corporate debt markets are barely addressed.…”

Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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Section: Covid-19 Impact On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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“…Since the outbreak of the pandemic in early 2020, sizeable efforts have been devoted to exploring the influence of the pandemic on a variety of assets classes, inter alia , the equity markets ( Corbet et al., 2020 ; Engelhardt et al., 2021 , Zaremba et al., 2021a ), the debt markets ( Zaremba et al., 2021b , A. 2021c ), commodities (e.g., Lin and Su, 2021 ; Sifat et al., 2021 ) and cryptocurrencies (e.g., Sarkodie et al., 2021 ; Wasiuzzaman and Rahman, 2021 ). As the pandemic deepened, governments implemented various health-related programs, economic support plans, and social restrictions in an attempt to ease the adverse impacts of the COVID-19 spread.…”

Section: Introductionmentioning

confidence: 99%

The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

Aharon

Baig

DeLisle

2022

Finance Research Letters

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“…They add three other metals into their analysis and find that gold, silver, palladium and platinum could serve as safe havens against risks in the crude oil returns. Sifat et al (2021) state that speculations in precious metal futures are more common in the COVID-19 pandemic than in other crisis periods. Therefore, precious metals, which are believed to be safe haven in crisis situations, might be replaced by other commodities.…”

Section: Literature Reviewmentioning

confidence: 97%

The role of precious metals in extreme market conditions: evidence from stock markets

Uyar

Balkan³

2021

SEF

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Purpose The purpose of this paper is to scrutinize three different points: How safe haven properties of precious metals (gold, silver, platinum and palladium) differentiate in two recent major crises such as the Global Financial Crisis (GFC) and the COVID-19 pandemic? How safe haven properties of precious metals change by the severity and the duration of shocks? and whether precious metals have hedge properties or not in normal conditions against different stock markets. Design/methodology/approach To analyze the time-varying behavior of precious metals with respect to stock market returns, the authors used the rolling window approach. After obtaining the time-varying beta series that way, the authors regressed the beta series on different severities of stock market shocks. Findings The findings show that the number of safe haven precious metals increases in the COVID-19 pandemic period compared to the GFC. Furthermore, the number of safe haven precious metals increases as the severity of shocks increases and the duration of them extended. Finally, in the absence of an extreme market condition, only gold has strong hedge asset properties. Originality/value To the best of the authors’ knowledge, this study is the first that examines the safe haven and hedge properties of all tradable precious metals against seven major stock markets. Besides this, it presents a comparative analysis for the safe haven properties of precious metals in terms of two major crises.

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

Cited by 47 publications

References 43 publications

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

The role of precious metals in extreme market conditions: evidence from stock markets

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