The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets

Cheima Gharib, Salma Mefteh-Wali and Sami Ben Jabeur

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper examines the causal relationship between crude oil and gold spot prices to assess how the economic impact of COVID-19 has affected them. We analyze West Texas Light crude oil (WTI) and gold prices from January 4, 2010, to May 4, 2020. We detect common periods of mild explosivity in WTI and gold markets. More importantly, we find a bilateral contagion effect of bubbles in oil and gold markets during the recent COVID-19 outbreak.

Keywords: WTI; Gold; COVID-19; Contagion; Explosive process; Recursive rolling window; Time-varying Granger causality (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 O13 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497

DOI: 10.1016/j.frl.2020.101703

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