Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic

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...

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Detalles Bibliográficos
Autores principales: Mensi, Walid, Reboredo, Juan C., Ugolini, Andrea
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758278/
https://www.ncbi.nlm.nih.gov/pubmed/36567727
http://dx.doi.org/10.1016/j.resourpol.2021.102217

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758278/
https://www.ncbi.nlm.nih.gov/pubmed/36567727
http://dx.doi.org/10.1016/j.resourpol.2021.102217

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