Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic

This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic pe...

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Detalles Bibliográficos
Autores principales: Benlagha, Noureddine, Omari, Salaheddine El
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8995523/
https://www.ncbi.nlm.nih.gov/pubmed/35431671
http://dx.doi.org/10.1016/j.frl.2021.102373
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author Benlagha, Noureddine
Omari, Salaheddine El
author_facet Benlagha, Noureddine
Omari, Salaheddine El
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description This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks.
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spelling pubmed-89955232022-04-11 Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic Benlagha, Noureddine Omari, Salaheddine El Financ Res Lett Article This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks. The Author(s). Published by Elsevier Inc. 2022-05 2021-08-10 /pmc/articles/PMC8995523/ /pubmed/35431671 http://dx.doi.org/10.1016/j.frl.2021.102373 Text en © 2021 The Author(s). Published by Elsevier Inc. 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
Benlagha, Noureddine
Omari, Salaheddine El
Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title_full Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title_fullStr Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title_full_unstemmed Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title_short Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
title_sort connectedness of stock markets with gold and oil: new evidence from covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8995523/
https://www.ncbi.nlm.nih.gov/pubmed/35431671
http://dx.doi.org/10.1016/j.frl.2021.102373
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