Hedging commodities in times of distress: The case of COVID‐19
Journal of Futures Markets
; 2022.
Article
in English
| Web of Science | ID: covidwho-1935679
ABSTRACT
This study examines the relation between the COVID-19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future-spot prices, and then we identify key financial and real economy transmission channels associated with the pandemic. We use data of all contracts from all commodities traded at Brazilian futures markets from 2018 to 2020. We document market inefficiency and bias for all commodities. We also find that COVID-19 has a negative correlation with hedge efficiency, and that liquidity, economic activity, export, and agriculture's employment share are transmission channels to hedge efficiency.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
Journal of Futures Markets
Year:
2022
Document Type:
Article
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