Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic

Νikolaos A. Kyriazis ()
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Νikolaos A. Kyriazis: University of Thessaly

SN Business & Economics, 2021, vol. 1, issue 4, 1-12

Abstract: Abstract This paper investigates the dynamic conditional linkages between the Eurostoxx50, and the Eurostoxx600 and its sub-indices with COVID-19 deaths, gold, and crude oil. The Dynamic Conditional Correlations (DCC) methodology is employed and the period examined spans from 22 January 2020 until 10 July 2020. Econometric outcomes reveal that the European stock indices are modestly-to-strongly linked with gold in a positive direction and this prevents them from abrupt falls during the pandemic. Nevertheless, weak positive linkages of indices with oil are detected. Sectors of major importance such as the energy sector, financial services, banks, automobiles and parts, and basic resources are mostly influenced by gold and oil. Notably, the impact of COVID-19 deaths on major European markets is rather indirect. These findings inform interested investors in order to ameliorate their risk–return tradeoff during the pandemic bear market.

Keywords: COVID-19; Eurostoxx; Eurostoxx sectors; Gold; Oil; Dynamic correlations (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s43546-021-00060-x

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