Investment in Commodities as Hedging and Safe-Haven Tools during the Periods of Stock Market Volatility

This research sought to investigate the assumption that commodities operate as hedging and safe-haven for stocks -during various periods of stock market volatility. In this regard, market test regression models and daily data from ۲۱/۰۳/۲۰۰۹ to ۱۹/۰۳/۲۰۲۰ were used. The researcher was able to test both hypotheses of commodities as hedging and safe-haven simultaneously using these three models. According to the market test model results, "periods of relatively high and low volatility," gold coin futures contracts are viewed as a strong safe-haven for Changes in Tehran stock exchange returns, yet they lack the property of hedging. According to the results of the market test model “Low return periods," gold commodities and other petroleum products serve as safe-haven. Furthermore, “during times of crisis," commodities such as polymer, copper, and gold (cash and futures) had a consistent relationship with the stock market returns. They can be regarded as a strong safe haven for Changes in stock returns. Gold, in general, provided a safe-haven property for the stock index returns in all market test models, and it can serve as a stabilizing force for financial systems by reducing the casualties caused by extreme negative market shocks. The findings indicated that commodities can be used as risk management tools during economic and financial crises. Regarding hedging, the commodity market performed poorly compared to the stock market. Hedging does not always represent a safe haven for the stock market return, and vice versa.

Keywords:

Commodity , Stock Index , Hedge , Safe Haven , Crisis