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

被引：149
作者：
Gharib, Cheima [1 ]
Mefteh-Wali, Salma [2 ]
Ben Jabeur, Sami [3 ]
机构：
[1] Univ Manouba, ESCT Sch Business, Quantitat Anal Res Grp QUARG, Manouba, Tunisia
[2] ESSCA Sch Management, 1 Rue Lakanal, F-49003 Angers, France
[3] ESDES Business Sch UCLyon, 10 Pl Arch, F-69002 Lyon, France
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
WTI; Gold; COVID-19; Contagion; Explosive process; Recursive rolling window; Time-varying Granger causality;
D O I：
10.1016/j.frl.2020.101703
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：10
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