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Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS

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  • Ayadi, Ahmed
  • Gana, Marjène
  • Goutte, Stéphane
  • Guesmi, Khaled

Abstract

This study extends the findings of previous research concerning the correlation and volatility 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). Indeed, we examine the contagion transmission mechanism between regional equity markets including the USA, Western Europe and the BRICS; and sixteen categories of commodities (Crude Oil, Natural Gas, Electricity, Metals, Precious Metals, Agricultural Oils, Chemicals, Feeds, Fibers, Forestry Products, Grains, Live Stocks, Oil Seeds, Seeds, Semi-Conductors, and Softs). We find that although most of the commodities decoupled during the global financial crisis, the Irish banking crisis and the European debt crisis, there is strong evidence of contagion detected during the BREXIT.

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  • Ayadi, Ahmed & Gana, Marjène & Goutte, Stéphane & Guesmi, Khaled, 2021. "Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 376-423.
    • Handle: RePEc:eee:reveco:v:76:y:2021:i:c:p:376-423
    DOI: 10.1016/j.iref.2021.06.013
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    1. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    2. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets," Working Papers halshs-04068644, HAL.
    3. Xiaokang Hou & Shah Fahad & Peipei Zhao & Beibei Yan & Tianjun Liu, 2022. "The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration," Sustainability, MDPI, vol. 14(19), pages 1-16, October.

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