The Unprecedented Equity and Commodity Markets Reaction to COVID-19

Amine Ben Amar, Belaid Fateh, Adel Ben Youssef, Benjamin Chiao and Khaled Guesmi

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Abstract: Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the considered markets, the Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillover is time-varying and reaches its highest level during the COVID-19 medical shock.

Keywords: COVID-19; Stock Markets; spillover index; cross-wavelet coherence (search for similar items in EconPapers)
Date: 2020-05-20
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Citations: View citations in EconPapers (10)

Published in SSRN Electronic Journal, 2020, 38, pp.101853. ⟨10.2139/ssrn.3606051⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03131564

DOI: 10.2139/ssrn.3606051

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