 Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemicWalid Mensi, Juan Reboredo and Andrea Ugolini Resources Policy, 2021, vol. 73, issue C Abstract: This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic. Using a Markov-switching vector autoregressive model, we show that stock markets were mainly influenced by their own shocks, with effects that were sensitive to regime shifts. Connectedness network analysis reveals that gold and stock markets were net contributors (receivers) of spillovers in the low-volatility regime (high-volatility regime), while oil was a major receiver (contributor) of spillovers in the low-volatility regime (high volatility regime). Regimes were mainly low-volatility from January 2019 to February 2020 and high-volatility from March 2020 to May 2020. We conclude that the COVID-19 pandemic intensified spillovers from commodity markets to the US and Chinese stock markets. Keywords: COVID-19; Chinese and US stock markets; Strategic commodity; MS-VAR model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002294 DOI: 10.1016/j.resourpol.2021.102217 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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