The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures,Journal of Behavioral and Experimental Finance

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The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
Journal of Behavioral and Experimental Finance ( IF 4.3 ) Pub Date : 2021-03-23 , DOI: 10.1016/j.jbef.2021.100498
Imtiaz Sifat ₁ , Abdul Ghafoor ₁ , Abdollah Ah Mand ₂

Affiliation

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.

中文翻译：

COVID-19 大流行和能源、贵金属和农产品期货的投机

我们报告了新的证据，表明能源和贵金属期货的投机在危机时期更为普遍，在 COVID-19 大流行期间更是如此。相比之下，农产品期货的避险压力更大。全球金融危机后的模式反映了 1980 年代的经济衰退。通过对长期样本进行分位数回归，我们还发现投机压力通常与正常情况下的异常回报同时发生，但在当前的大流行中则不然。相反，波动性与跨工具的投机密切相关，而且通常是非线性的。

更新日期：2021-03-26

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