The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets

Cheima Ghariba C., Salma Mefteh-Walib and Sami Ben Jabeur ()
Additional contact information
Sami Ben Jabeur: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

Post-Print from HAL

Abstract: This paper examines the causal relationship between crude oil and gold spot prices to assess how the economic impact of COVID-19 has affected them. We analyze West Texas Light crude oil (WTI) and gold prices from January 4, 2010, to May 4, 2020. We detect common periods of mild explosivity in WTI and gold markets. More importantly, we find a bilateral contagion effect of bubbles in oil and gold markets during the recent COVID-19 outbreak.

Keywords: Gold; Granger causality; Time-varying; Recursive rolling window; Explosive process; Contagion; COVID-19; WTI; Variations temporelles; Or; Processus explosif; Causalité de Granger; Fenêtre roulante récursive (search for similar items in EconPapers)
Date: 2021-01
Note: View the original document on HAL open archive server: https://ucly.hal.science/hal-05238299v1
References: Add references at CitEc
Citations:

Published in Finance Research Letters, 2021, 38, pp.101703. ⟨10.1016/j.frl.2020.101703⟩

Downloads: (external link)
https://ucly.hal.science/hal-05238299v1/document (application/pdf)

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:hal:journl:hal-05238299

DOI: 10.1016/j.frl.2020.101703

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().