Revisiting the valuable roles of commodities for international stock markets

In this paper, we re-examine the safe haven, hedge, and diversification potentials of 21 commodities belonging to various commodity groups for 49 international stock markets belonging to countries in various stages of economic development. Using daily data from 2001 to 2018, we conduct an extensive analysis that considers the tails of the return distributions. Our main results show valuable hedge and safe haven roles for specific commodities,...