Sifat Imtiaz, Ghafoor Abdul, Ah Mand Abdollah
Department of Finance, School of Business, Monash University (Malaysia Campus), Bandar Sunway, Selangor, 47500, Malaysia.
Department of Economics and Finance, Sunway University Business School, Sunway University, No. 5, Jalan Universiti, Bandar Sunway, Petaling Jaya, Selangor 47500, Malaysia.
J Behav Exp Finance. 2021 Jun;30:100498. doi: 10.1016/j.jbef.2021.100498. Epub 2021 Mar 23.
We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s' recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.
我们报告了新的证据，表明能源和贵金属期货的投机行为在危机时期更为普遍，在新冠疫情期间更是如此。相比之下，农产品期货吸引了更多的套期保值压力。全球金融危机后的模式反映了20世纪80年代的衰退情况。通过对长期样本进行分位数回归，我们还发现，在正常情况下，投机压力通常与异常回报同时出现，但在当前疫情期间并非如此。相反，波动性与各类工具的投机行为紧密相关，且往往是非线性的。
