engleski

COVID-19 and commodity futures markets

The outbreak of Covid-19 virus and its wide global spread resulted in massive socio- economic risks worldwide. Commodity market was hit harder than ever before. The paper studies the coherence between Covid-19 pandemic (measured by total cases, new cases, total deaths and new deaths) and commodity futures markets (measured by futures prices and price volatility of 26 commodities). The aim of the paper is (i) to present the general effect of Covid-19 pandemic on commodity markets, (ii) to study which commodities showed intensified effect and elaborate on reasoning and (iii) and to review which commodities and asset classes proved to be safe-havens during the pandemic crisis. The findings reveal that WTI crude oil, industrial metals and gold experienced most intensive Covid-19 effects, with oil reaching its lowest price ever and gold reaching its highest price ever. Results on price volatility and Covid-19 - commodity price correlation differ across commodities, time periods and reference Covid-19 progression measure.

Covid-19 ; commodity market ; commodity futures prices ; price volatility

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