The Unprecedented Equity and Commodity Markets Reaction to COVID-19

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Date

20 mai 2020

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HAL-SHS : économie et finance

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.2139/ssrn.3606051

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Archives ouvertes

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Centre pour la communication scientifique directe

Mots-clés En

COVID-19 Stock Markets spillover index cross-wavelet coherence

Sujets proches En

Exchanges, Securities Stock-exchange Securities exchanges Equity markets Commercial corners Stock markets Bulls and bears Corners, Commercial Exchanges, Stock

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Amine Ben Amar et al., « The Unprecedented Equity and Commodity Markets Reaction to COVID-19 », HAL-SHS : économie et finance, ID : 10.2139/ssrn.3606051

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Résumé En

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the considered markets, the Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillover is time-varying and reaches its highest level during the COVID-19 medical shock.

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