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

Imtiaz Sifat, Abdul Ghafoor () and Abdollah Ah Mand

Journal of Behavioral and Experimental Finance, 2021, vol. 30, issue C

Abstract: 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.

Keywords: Futures; Commodities; Oil; Gold; Silver; COVID-19; Pandemic; Speculation; Amihud (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000423

DOI: 10.1016/j.jbef.2021.100498

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