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The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures.
Sifat, Imtiaz; Ghafoor, Abdul; Ah Mand, Abdollah.
  • Sifat I; Department of Finance, School of Business, Monash University (Malaysia Campus), Bandar Sunway, Selangor, 47500, Malaysia.
  • Ghafoor A; Department of Finance, School of Business, Monash University (Malaysia Campus), Bandar Sunway, Selangor, 47500, Malaysia.
  • Ah Mand A; Department of Economics and Finance, Sunway University Business School, Sunway University, No. 5, Jalan Universiti, Bandar Sunway, Petaling Jaya, Selangor 47500, Malaysia.
J Behav Exp Finance ; 30: 100498, 2021 Jun.
Article in English | MEDLINE | ID: covidwho-1163984
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.
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Full text: Available Collection: International databases Database: MEDLINE Language: English Journal: J Behav Exp Finance Year: 2021 Document Type: Article Affiliation country: J.jbef.2021.100498

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Full text: Available Collection: International databases Database: MEDLINE Language: English Journal: J Behav Exp Finance Year: 2021 Document Type: Article Affiliation country: J.jbef.2021.100498