Babirath Julia, Malec Karel, Schmitl Rainer, Sahatqija Jeta, Maitah Mansoor, Kotásková Sylvie Kobzev, Maitah Kamil
University of Applied Sciences in Eisenstadt, Eisenstadt, Austria.
Czech University of Life Sciences Prague, Prague, Czech Republic.
Sugar Tech. 2021;23(2):296-307. doi: 10.1007/s12355-020-00903-1. Epub 2020 Oct 16.
In times of turbulent financial markets, investors all around the globe seek for opportunities protecting their portfolios from devastating losses. Historically, commodities were regarded as a safe haven providing sound returns which offset potential losses arising from dropping equity prices in times of market turmoil. While sugar would have provided a proper hedge against crashing equity markets during the initiation of the 2007 bear market and the onset financial crisis, sugar prices dropped likewise equity during the outbreak of COVID-19 and the consequent market shock. The goal of the paper is to elaborate on the differences in sugar price dynamics during the aforementioned economic disruptions by employing a multiple linear regression approach using data from the last quarter 2007 as well as the first quarter of 2019. The findings suggest that the behavioral differences stem from the deep link between oil and sugar prices. While oil did not influence the price of sugar during the outbreak of the financial crisis, it had tremendous influence on sugar prices during the outbreak of the corona crisis. Currently, sugar provides a substantial upside for an investor's portfolio since the demand and supply-side shock on oil prices due to corona crisis as well as the Saudi-Russian oil price war drove oil prices and consequently sugar prices to a historic low. Sugar futures provide the advantage of offering a smaller contract size compared to oil futures, and even though both commodities trade in contango as of March 2020, the sugar future curve is by far not as steep as the oils. Resultingly, investors benefit from lower rollover costs while prospering from a potential surge in oil prices.
在金融市场动荡时期，全球投资者都在寻找机会保护其投资组合免受巨大损失。从历史上看，大宗商品被视为一个避风港，能提供可观回报，以抵消市场动荡时期股价下跌带来的潜在损失。虽然在2007年熊市初期和金融危机爆发时，糖本可对股市暴跌起到适当的对冲作用，但在新冠疫情爆发及随之而来的市场冲击期间，糖价与股价一样下跌了。本文的目的是通过运用多元线性回归方法，利用2007年最后一个季度以及2019年第一季度的数据，阐述上述经济动荡期间糖价动态的差异。研究结果表明，行为差异源于石油与糖价之间的紧密联系。在金融危机爆发期间，石油并未影响糖价，但在新冠危机爆发期间，它对糖价产生了巨大影响。目前，糖为投资者的投资组合提供了可观的上行空间，因为新冠危机以及沙特-俄罗斯油价战导致的供需端对油价的冲击，使油价进而糖价跌至历史低点。与石油期货相比，糖期货的优势在于合约规模较小，而且尽管截至2020年3月这两种商品均处于期货升水状态，但糖期货曲线远没有石油期货曲线那么陡峭。因此，投资者在从油价潜在飙升中获利的同时，还能从较低的展期成本中受益。
