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Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?

Author

Listed:
  • Md. Bokhtiar Hasan

    (Islamic University)

  • Md. Naiem Hossain

    (Islamic University)

  • Juha Junttila

    (University of Jyväskylä)

  • Gazi Salah Uddin

    (Linköping University)

  • Mustafa Raza Rabbani

    (College of Business Administration, University of Bahrain)

Abstract

This study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncertainties and GPR. Consistent with earlier studies, our findings indicate that safe-haven traits can alter across frequencies and quantiles. Our findings have significant implications for investors and regulators in hedging and making proper decisions, respectively, under diverse uncertain circumstances.

Suggested Citation

  • Md. Bokhtiar Hasan & Md. Naiem Hossain & Juha Junttila & Gazi Salah Uddin & Mustafa Raza Rabbani, 2025. "Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?," Annals of Operations Research, Springer, vol. 345(2), pages 1387-1420, February.
    • Handle: RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-04876-0
    DOI: 10.1007/s10479-022-04876-0
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    More about this item

    Keywords

    Uncertainties; COVID-19; Commodities; Safe-haven; DCC-GARCH; Quantile-on-quantile;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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