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The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets

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  • Gharib, Cheima
  • Mefteh-Wali, Salma
  • Jabeur, Sami Ben

Abstract

This paper examines the causal relationship between crude oil and gold spot prices to assess how the economic impact of COVID-19 has affected them. We analyze West Texas Light crude oil (WTI) and gold prices from January 4, 2010, to May 4, 2020. We detect common periods of mild explosivity in WTI and gold markets. More importantly, we find a bilateral contagion effect of bubbles in oil and gold markets during the recent COVID-19 outbreak.

Suggested Citation

  • Gharib, Cheima & Mefteh-Wali, Salma & Jabeur, Sami Ben, 2021. "The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497
    DOI: 10.1016/j.frl.2020.101703
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    More about this item

    Keywords

    WTI; Gold; COVID-19; Contagion; Explosive process; Recursive rolling window; Time-varying Granger causality;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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