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On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets
Resources Policy Pub Date : 2021-03-05 , DOI: 10.1016/j.resourpol.2021.102025
Imlak Shaikh 1
Affiliation  

Fear of the disease outbreak news (DONs) has shocked commodity markets and raised the likelihood of economic uncertainty and recession globally. This article examines the unprecedented overreaction of investors sentiments in the commodities such as Crude oil, Gold, Gold Mining, Silver, and the Energy sector. The deadly effects of DONs-COVID-19 in the commodities market have been the worst in history; it appeared the first time higher than the common stock's volatility. Covid-19 induced economic uncertainty has impacted severely through all commodities except the safe-haven Gold (GVZ). Importantly, ETF Options based Implied Volatility Index of Crude (OVX), Silver (VXSLV), and Energy (VXXLE) stocks have crossed the peak level what it was prevailing during the global financial crisis 2008. The unparalleled upsurge of the implied volatility index across all commodities indicates higher demand for the hedge funds to protects the commodity portfolio. ETF options on the commodity act as the best hedge against market uncertainty. Overburden on the put option results in an increased risk premium, henceforth higher expected volatility. ETF options truly measure the investor's fear of predominant in the commodity market.



中文翻译:


论疫情消息与原油、黄金、金矿、白银、能源市场的关系



对疾病爆发消息(DON)的恐惧震惊了大宗商品市场,并增加了全球经济不确定性和衰退的可能性。本文探讨了投资者对原油、黄金、金矿、白银和能源等大宗商品情绪的前所未有的过度反应。 DONs-COVID-19 对大宗商品市场的致命影响是历史上最严重的;它首次出现高于普通股的波动性。 Covid-19 引发的经济不确定性严重影响了除避险黄金 (GVZ) 之外的所有商品。重要的是,基于 ETF 期权的原油 (OVX)、白银 (VXSLV) 和能源 (VXXLE) 股票隐含波动率指数已突破 2008 年全球金融危机期间的最高水平。所有商品都表明对对冲基金保护商品投资组合的需求更高。商品 ETF 期权是应对市场不确定性的最佳对冲工具。看跌期权负担过重会导致风险溢价增加,从而导致预期波动性更高。 ETF期权真正衡量了投资者对商品市场主导的恐惧程度。

更新日期:2021-03-07
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