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

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  • Sifat, Imtiaz
  • Ghafoor, Abdul
  • Ah Mand, Abdollah

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.

Suggested Citation

  • Sifat, Imtiaz & Ghafoor, Abdul & Ah Mand, Abdollah, 2021. "The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    • Handle: RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000423
    DOI: 10.1016/j.jbef.2021.100498
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