Safe-haven properties of soft commodities during times of Covid-19

Document Type


Source of Publication

Journal of Commodity Markets

Publication Date



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 over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets and for one of the short-term or long-term investors during the times of COVID-19. Our results also show that safe-haven properties of soft commodities are contingent upon the nature of the commodity. The findings of our mean-variance portfolio analysis indicate that the portfolios with commodity futures are less risky and efficient compared to the portfolio containing stocks only, thus robustly supporting the safe-haven properties of soft commodities during COVID-19. Our results not only have important implications for individual investors and asset managers in suggesting particular soft commodities to strengthen safe-haven and diversification features of their portfolios but also can assist the policy makers to understand and disentangle health fear dimension of several interlocking dynamics affecting the spot and futures prices of soft commodities during COVID-19.




Wavelet coherence, Soft commodities, Global Covid-19 fear index

Scopus ID


Indexed in Scopus


Open Access


Open Access Type

Bronze: This publication is openly available on the publisher’s website but without an open license