The unprecedented reaction of equity and commodity markets to COVID-19

Amine Ben Amar, Belaid Fateh, Adel Ben Youssef, Benjamin Chiao and Khaled Guesmi

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

Abstract: Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock.

Keywords: COVID-19; Stock markets; Spillover index; Cross-wavelet coherence (search for similar items in EconPapers)
JEL-codes: C32 F42 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

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Working Paper: The unprecedented reaction of equity and commodity markets to COVID-19 (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316676

DOI: 10.1016/j.frl.2020.101853

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