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

Author

Listed:
  • Ahmed Ayadi

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)

  • Marjène Gana

    (IHEC - Institut des hautes études commerciales (Carthage, Tunisie) - UCAR - Université de Carthage (Tunisie))

  • Stéphane Goutte

    (SOURCE - SOUtenabilité et RésilienCE - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines - IRD [France-Nord] - Institut de Recherche pour le Développement)

  • Khaled Guesmi

Abstract

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
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ahmed Ayadi & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2021. "Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS," Post-Print hal-04450376, HAL.
    • Handle: RePEc:hal:journl:hal-04450376
    DOI: 10.1016/j.iref.2021.06.013
    as

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