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Crash risk determinants in commodities

Nicholas Apergis & Nikoleta Bakali

Journal of Financial Management, Markets and Institutions2026https://doi.org/10.1142/s2282717x26500015article
AJG 1ABDC C
Weight
0.50

What the paper says

The goal of this work is to determine the crash risk of certain commodities and to study the impact of certain macroeconomic and geopolitical factors, such as the geopolitical risk index, GDP, CPI, and economic policy uncertainty, on crash risk for gold, silver, crude oil, and natural gas, spanning the period 2006 to 2023. The findings document that macroeconomic factors, economic uncertainty, and geopolitical variables play a substantial role in determining commodity price crash risk, while the role of the economic and uncertainty variables is stronger during the global financial crisis vis-a-vis during the pandemic crisis, with the opposite being true concerning the geopolitical variable. The results provide valuable insights into policymakers and investors.

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https://doi.org/https://doi.org/10.1142/s2282717x26500015

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@article{nicholas2026,
  title        = {{Crash risk determinants in commodities}},
  author       = {Nicholas Apergis & Nikoleta Bakali},
  journal      = {Journal of Financial Management, Markets and Institutions},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1142/s2282717x26500015},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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