The unprecedented reaction of equity and commodity markets to COVID-19

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countrie...

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Detalles Bibliográficos
Autores principales: Amar, Amine Ben, Belaid, Fateh, Youssef, Adel Ben, Chiao, Benjamin, Guesmi, Khaled
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761192/
https://www.ncbi.nlm.nih.gov/pubmed/36569653
http://dx.doi.org/10.1016/j.frl.2020.101853
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author Amar, Amine Ben
Belaid, Fateh
Youssef, Adel Ben
Chiao, Benjamin
Guesmi, Khaled
author_facet Amar, Amine Ben
Belaid, Fateh
Youssef, Adel Ben
Chiao, Benjamin
Guesmi, Khaled
author_sort Amar, Amine Ben
collection PubMed
description Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock.
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spelling pubmed-97611922022-12-19 The unprecedented reaction of equity and commodity markets to COVID-19 Amar, Amine Ben Belaid, Fateh Youssef, Adel Ben Chiao, Benjamin Guesmi, Khaled Financ Res Lett Article Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock. Elsevier Inc. 2021-01 2020-11-18 /pmc/articles/PMC9761192/ /pubmed/36569653 http://dx.doi.org/10.1016/j.frl.2020.101853 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
Amar, Amine Ben
Belaid, Fateh
Youssef, Adel Ben
Chiao, Benjamin
Guesmi, Khaled
The unprecedented reaction of equity and commodity markets to COVID-19
title The unprecedented reaction of equity and commodity markets to COVID-19
title_full The unprecedented reaction of equity and commodity markets to COVID-19
title_fullStr The unprecedented reaction of equity and commodity markets to COVID-19
title_full_unstemmed The unprecedented reaction of equity and commodity markets to COVID-19
title_short The unprecedented reaction of equity and commodity markets to COVID-19
title_sort unprecedented reaction of equity and commodity markets to covid-19
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761192/
https://www.ncbi.nlm.nih.gov/pubmed/36569653
http://dx.doi.org/10.1016/j.frl.2020.101853
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