How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions

Mohammad Ashraful Chowdhury, Muhammad Meo () and Chaker Aloui

International Review of Financial Analysis, 2021, vol. 76, issue C

Abstract: In this study, we analyse the impact of world uncertainty, global pandemics, including the recent COVID-19, and geopolitical risk on global food, energy commodities, and stock markets from a global perspective. The study uses quantile on quantile regression (QQR) and a quantile causality test using quarterly data from 1996Q1 to 2020Q1. Overall, the study results indicate heterogeneity in the influence of the world uncertainty index, global pandemic index, and geopolitical risk on the global food, energy, and stock markets. However, our findings predominantly show a negative impact of world uncertainty, and global pandemic on global food, energy commodities, and stock markets with substantial variations across markets (food, energy, and stock) and quantiles within each market. For robustness, this study applied the geopolitical risk and found the similar impact on food, energy and stock markets. Additionally, the quantile causality test confirms unidirectional causality running from world uncertainty, global pandemic uncertainty, and geopolitical risk to world food, energy, and stock markets. Our findings give a clear guideline to policymakers and investors managing food, energy, and equity markets during uncertainty and pandemic periods.

Keywords: Pandemic uncertainty; COVID-19; Energy; Food; Stock markets; Economic policy uncertainty (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521921001009
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001009

DOI: 10.1016/j.irfa.2021.101759

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().