Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS

Ahmed Ayadi, Marjène Gana, Stéphane Goutte and Khaled Guesmi

Working Papers from HAL

Abstract: This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). We study existence of contagion transmission mechanism between regional equity markets (USA, Western Europe and the BRICS) and sixteen categories of commodities

Keywords: Crude Oil; Natural Gas; Electricity; Metals; Precious Metals; Agricultural Oils; Chemicals; Feeds; Fibers; Forestry Products; Grains; Live Stocks; Oil Seeds; Equity-commodity contagion; Three-factor CAPM; Financial crises (search for similar items in EconPapers)
Date: 2021-03-15
New Economics Papers: this item is included in nep-cis, nep-cwa, nep-ene and nep-sea
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03169699
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS (2021)
Working Paper: Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS (2021)
Working Paper: Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS (2021)
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