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The unprecedented reaction of equity and commodity markets to COVID-19

Author

Listed:
  • Amine Ben Amar

    (UIR - Université Internationale de Rabat)

  • Fateh Belaid

    (Lille Catholic University, LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - ULCO - Université du Littoral Côte d'Opale - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Adel Ben Youssef

    (UniCA - Université Côte d'Azur)

  • Benjamin Chiao

    (PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

  • Khaled Guesmi

    (EDC - EDC Paris Business School)

Abstract

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Amine Ben Amar & Fateh Belaid & Adel Ben Youssef & Benjamin Chiao & Khaled Guesmi, 2021. "The unprecedented reaction of equity and commodity markets to COVID-19," Post-Print halshs-03506813, HAL.
    • Handle: RePEc:hal:journl:halshs-03506813
    DOI: 10.1016/j.frl.2020.101853
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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