6533b824fe1ef96bd12815e0
RESEARCH PRODUCT
Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
Juhani RaatikainenJuha-pekka JunttilaJuho Pesonensubject
Economics and Econometrics050208 finance020209 energy05 social sciencesEquity (finance)02 engineering and technologyMonetary economicsCrude oilCommodity marketEnergy sector0502 economics and businessFinancial crisis0202 electrical engineering electronic engineering information engineeringEconomicsStock marketSafe haventa512Futures contracthealth care economics and organizationsFinancedescription
Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. 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 U.S. equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging during stock market crises.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2018-09-01 | Journal of International Financial Markets, Institutions and Money |