Fiche du document
15 mars 2021
- handle: 10670/1.i9isjq
- halshs: halshs-03169699
info:eu-repo/semantics/OpenAccess
Mots-clés
Crude Oil Natural Gas Electricity Metals Precious Metals Agricultural Oils Chemicals Feeds Fibers Forestry Products Grains Live Stocks Oil Seeds Equity-commodity contagion Three-factor CAPM Financial crises -fin] -fin]/Computational Finance [q-fin.CP] -fin]/Pricing of Securities [q-fin.PR] -fin]/Statistical Finance [q-fin.ST]Sujets proches
Funds Funding Finance, commerce, confiscations, etcCiter ce document
Ahmed Ayadi et al., « Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS », HAL-SHS : économie et finance, ID : 10670/1.i9isjq
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Résumé
This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). We study existence of contagion transmission mechanism between regional equity markets (USA, Western Europe and the BRICS) and sixteen categories of commodities