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

We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression...

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Detalles Bibliográficos
Autores principales: Sifat, Imtiaz, Ghafoor, Abdul, Ah Mand, Abdollah
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9765866/
https://www.ncbi.nlm.nih.gov/pubmed/36570102
http://dx.doi.org/10.1016/j.jbef.2021.100498
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author Sifat, Imtiaz
Ghafoor, Abdul
Ah Mand, Abdollah
author_facet Sifat, Imtiaz
Ghafoor, Abdul
Ah Mand, Abdollah
author_sort Sifat, Imtiaz
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description We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.
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spelling pubmed-97658662022-12-21 The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures Sifat, Imtiaz Ghafoor, Abdul Ah Mand, Abdollah J Behav Exp Finance Full Length Article We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments. Elsevier B.V. 2021-06 2021-03-23 /pmc/articles/PMC9765866/ /pubmed/36570102 http://dx.doi.org/10.1016/j.jbef.2021.100498 Text en © 2021 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Full Length Article
Sifat, Imtiaz
Ghafoor, Abdul
Ah Mand, Abdollah
The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title_full The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title_fullStr The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title_full_unstemmed The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title_short The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
title_sort covid-19 pandemic and speculation in energy, precious metals, and agricultural futures
topic Full Length Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9765866/
https://www.ncbi.nlm.nih.gov/pubmed/36570102
http://dx.doi.org/10.1016/j.jbef.2021.100498
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