Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
By J. Junttila, Juho Pesonen, J. Raatikainen. Journal of international financial markets, institutions, and money, 2018
227 citations recorded by the source corpus.
Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/c10d917506671e5fbd661fdd80a8b32bf11c13c4
How researchers see this paper
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In Economics and Econometrics
In Renewable Energy, Sustainability and the Environment
- D. Godil
- Tareq Saeed
- K. Al-Yahyaee
- Walid Mensi
- Sang Hoon Kang
- Ahmet Sensoy
- D. Tran
- Kittisak Jermsittiparsert
Citations in the corpus
- Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019, result): “This result is in line with Junttila et al. (2018) and Mensi et al. (2015). Regarding the average optimal hedge ratios, the hedge ratios for precious metals are lower than for the energy markets. Among the precious metal markets, the highest (lowest) ratio is for the Dubai stock-gold (Bahraini-silve”
- How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Junttila et al. (2018) also supported safe-haven hypothesis of gold; � Smiech and Papie _ z (2017) have found gold as weak hedge of equity; whereas Bekiros et al. (2017) have shown that diversifying potential of gold tends to decrease in the long-run, and they did not find gold as a safe haven and…”
- Hedging Strategies of Green Assets against Dirty Energy Assets (2020, background): “(8) Gold is widely regarded as a safe haven asset in financial markets [24,44].”