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Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets

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  • Tuna, Gülfen
  • Tuna, Vedat Ender

Abstract

The purpose of this study is to examine the effect of COVID-19 pandemic on gold, oil, conventional and Islamic stock markets. Two variables as the number of new COVID-19 cases and Infectious Disease Equity Market Volatility (IDEMV) Index developed by Baker, Bloom, Davis and Kost (2019) are used in order to discuss the effect of COVID-19 pandemic. Other variables used in the research are oil prices, gold prices and S&P Dow Jones Index values for conventional and Islamic stock markets. The data set used in the study is the daily data set between 31st December 2019 and 5th May 2020 for all variables. Time and frequency domain causality test is used in the study. According to the study results, there is a permanent causality in long term between stock markets, gold and oil prices and the number of COVID-19 cases. There is also a permanent causality in long term between IDEMV and gold and oil prices. However, in short term, there is a temporary causality between gold and oil prices and the number of COVID-19 cases. These results are highly important especially for policy performers and portfolio managers to determine the portfolio strategies.

Suggested Citation

  • Tuna, Gülfen & Tuna, Vedat Ender, 2022. "Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets," Resources Policy, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000861
    DOI: 10.1016/j.resourpol.2022.102637
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    More about this item

    Keywords

    COVID-19 pandemic; Health crisis; Islamic stock markets; IDEMV; Financial markets;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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