Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS

Ahmed Ayadi, Marjène Gana, Stéphane Goutte and Khaled Guesmi

International Review of Economics & Finance, 2021, vol. 76, issue C, 376-423

Abstract: This study extends the findings of previous research concerning the correlation and volatility 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). Indeed, we examine the contagion transmission mechanism between regional equity markets including the USA, Western Europe and the BRICS; and sixteen categories of commodities (Crude Oil, Natural Gas, Electricity, Metals, Precious Metals, Agricultural Oils, Chemicals, Feeds, Fibers, Forestry Products, Grains, Live Stocks, Oil Seeds, Seeds, Semi-Conductors, and Softs). We find that although most of the commodities decoupled during the global financial crisis, the Irish banking crisis and the European debt crisis, there is strong evidence of contagion detected during the BREXIT.

Keywords: Equity-commodity contagion; Three-factor CAPM; Financial crises (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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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)
Working Paper: Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:76:y:2021:i:c:p:376-423

DOI: 10.1016/j.iref.2021.06.013

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