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The Safe-Haven and Hedging Properties of Agricultural Commodities

Author

Listed:
  • Zeinab Akil
  • Mathieu Gomes

    (CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA [2017-2020] - Université Clermont Auvergne [2017-2020])

  • Benjamin Williams-Rambaud

Abstract

In this article we assess the safe-haven, hedging, and diversifying properties of agricultural commodity futures with respect to the S&P 500 index between 1999 and 2021. Our analyses reveal that various agricultural commodities (such as coffee, corn, soybeans, and wheat) exhibit safe-haven and/or hedging properties against the S&P 500 index. We further show that a small exposure to agricultural commodities enables a significant reduction in a stock portfolio's downside risk as proxied by semi standard deviation and value at risk.

Suggested Citation

  • Zeinab Akil & Mathieu Gomes & Benjamin Williams-Rambaud, 2023. "The Safe-Haven and Hedging Properties of Agricultural Commodities," Post-Print hal-04368064, HAL.
    • Handle: RePEc:hal:journl:hal-04368064
    DOI: 10.3905/jwm.2023.1.218
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