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

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 an...

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Detalles Bibliográficos
Autores principales: Gharib, Cheima, Mefteh-Wali, Salma, Jabeur, Sami Ben
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7385502/
https://www.ncbi.nlm.nih.gov/pubmed/32837382
http://dx.doi.org/10.1016/j.frl.2020.101703
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author Gharib, Cheima
Mefteh-Wali, Salma
Jabeur, Sami Ben
author_facet Gharib, Cheima
Mefteh-Wali, Salma
Jabeur, Sami Ben
author_sort Gharib, Cheima
collection PubMed
description 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.
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spelling pubmed-73855022020-07-28 The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets Gharib, Cheima Mefteh-Wali, Salma Jabeur, Sami Ben Financ Res Lett Article 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. Elsevier Inc. 2021-01 2020-07-28 /pmc/articles/PMC7385502/ /pubmed/32837382 http://dx.doi.org/10.1016/j.frl.2020.101703 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Gharib, Cheima
Mefteh-Wali, Salma
Jabeur, Sami Ben
The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title_full The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title_fullStr The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title_full_unstemmed The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title_short The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
title_sort bubble contagion effect of covid-19 outbreak: evidence from crude oil and gold markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7385502/
https://www.ncbi.nlm.nih.gov/pubmed/32837382
http://dx.doi.org/10.1016/j.frl.2020.101703
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