Article ; Online: Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period.
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2022 Volume 77, Page(s) 102679
Abstract: This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return ... ...
| Abstract | This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period. Gold loses its hedge status during the post-COVID period while silver is a strong safe-haven against international equity markets at the upper-tail of conditional return distribution of silver. Further, iron pose weak safe-haven properties against international equity markets when iron returns are extremely positive. However, neither conventional nor green energy stocks act as safe-haven against international equity markets. Current results may provide guidance for risk management, portfolio management and policy decisions during the post-COVID-19 period. |
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| Language | English |
| Publishing date | 2022-03-21 |
| Publishing country | England |
| Document type | Journal Article |
| ISSN | 1873-7641 |
| ISSN (online) | 1873-7641 |
| DOI | 10.1016/j.resourpol.2022.102679 |
| Database | MEDical Literature Analysis and Retrieval System OnLINE |
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