Safe-Haven Properties of Soft Commodities during Times of COVID-19

35 Pages Posted: 2 Dec 2020 Last revised: 12 May 2021

See all articles by Ghulame Rubbaniy

Ghulame Rubbaniy

Zayed University - College of Business

Ali Awais Khalid

University of Lahore (UOL) - Lahore Business School

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Aristeidis Samitas

Zayed University

Date Written: November 19, 2020

Abstract

We use wavelet coherence analysis on global COVID-19 fear index and soft commodities spot and futures prices to investigate safe-haven properties of soft commodities during the period of novel Corona virus pandemic. The results show that staple food soft commodities (wheat, corn, and cocoa) and the futures on corn, cotton and cocoa possess strong positive co-movement with global COVID-19 fear index and can be used as safe-haven assets due to their price resilience during the times of COVID-19 pandemic. However, the non-staple soft commodities do not exhibit this behavior as their consumption is not persistent and consumers switch to healthy foods during the Covid-19 outbreak to boost their immunity against the COVID-19.

Keywords: Wavelet coherence, Soft commodities, Global COVID-19 fear index

JEL Classification: G11, G15, Q02

Suggested Citation

Rubbaniy, Ghulame and Khalid, Ali Awais and Siriopoulos, Costas and Samitas, Aristeidis, Safe-Haven Properties of Soft Commodities during Times of COVID-19 (November 19, 2020). Available at SSRN: https://ssrn.com/abstract=3740588 or http://dx.doi.org/10.2139/ssrn.3740588

Ghulame Rubbaniy (Contact Author)

Zayed University - College of Business ( email )

Zayed University
P.O. Box 144534
Abu Dhabi
United Arab Emirates

Ali Awais Khalid

University of Lahore (UOL) - Lahore Business School ( email )

1-KM Bopatian Chowk, Defence Road
Lahore, Punjab 54000
Pakistan

Costas Siriopoulos

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )

Patras
Greece

Aristeidis Samitas

Zayed University ( email )

P.O. Box 4783
Abu Dhabi
United Arab Emirates

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