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


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.

SUBMITTER: Sifat I 

PROVIDER: S-EPMC9765866 | biostudies-literature | 2021 Jun

REPOSITORIES: biostudies-literature

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

Sifat Imtiaz I   Ghafoor Abdul A   Ah Mand Abdollah A  

Journal of behavioral and experimental finance 20210323


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 o  ...[more]

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