Junttila, Juha-Pekka
[VerfasserIn]
;
Pesonen, Juho
[Sonstige Person, Familie und Körperschaft];
Raatikainen, Juhani
[Sonstige Person, Familie und Körperschaft]
Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 16, 2017 erstellt
Beschreibung:
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