Hedging uncertainty: how investable are agricultural commodity assets during turbulence?

Purpose This study aims to examine how world uncertainty (WUI) and geopolitical risk (GPR) affect agricultural commodity assets to search for hedging and safe-haven landscapes during crises: the COVID-19, and the Russia−Ukraine conflict. Design/methodology/approach To achieve the purpose, this study considers dynamic conditional correlation, and the quantile cross-spectral (QC) approach. Findings This study finds that the COVID-19 epidemic and the Russia−Ukraine conflict have no particular influence on the agricultural commodity assets. Cocoa and Feeder Cattle offer strong safe-haven and hedge opportunities for the long-, and short-term investors, respectively, against WUI and GPR. Furthermore, Lean Hogs and soybeans can offer strong safe-haven opportunities in several investment terms and frequencies. Out of the considered variables, the majority of the agricultural commodity assets can provide minimal hedge opportunities against the WUI and GPR. To adopt appropriate strategies in the face of WUI and GPR, the findings offer substantial insights for policymakers and investors. Originality This study shows a novel impact of WUI on the agricultural commodity markets, using the cross-spectral in quantile method with three possible points of market conditions as well as three investment frequencies, providing beneficial information on portfolio diversification with the agricultural commodity assets.