Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic

Noureddine Benlagha () and Salaheddine El Omari

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks.

Keywords: Oil; Gold; Stocks; Connectedness; COVID-19 (search for similar items in EconPapers)
JEL-codes: G14 J15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003755

DOI: 10.1016/j.frl.2021.102373

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