Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic

被引：74
|
作者：
Benlagha, Noureddine [1 ]
El Omari, Salaheddine [1 ]
机构：
[1] Qatar Univ, Coll Business & Econ, Dept Finance & Econ, POX 2713, Doha, Qatar
来源：
FINANCE RESEARCH LETTERS | 2022年 / 46卷
关键词：
Oil; Gold; Stocks; Connectedness; COVID-19;
D O I：
10.1016/j.frl.2021.102373
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks.
引用
收藏
页数：8
相关论文
共 50 条
  • [21] The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
    Gharib, Cheima
    Mefteh-Wali, Salma
    Ben Jabeur, Sami
    FINANCE RESEARCH LETTERS, 2021, 38
  • [22] CONNECTEDNESS BETWEEN CRUDE OIL AND US EQUITIES: THE IMPACT OF THE COVID-19 PANDEMIC
    Maghyereh, Aktham
    Abdoh, Hussein
    ANNALS OF FINANCIAL ECONOMICS, 2022, 17 (04)
  • [23] Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19
    Li, Zijian
    Meng, Qiaoyu
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
  • [24] Investor sentiments and stock markets during the COVID-19 pandemic
    Cevik, Emre
    Altinkeski, Buket Kirci
    Cevik, Emrah Ismail
    Dibooglu, Sel
    FINANCIAL INNOVATION, 2022, 8 (01)
  • [25] The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters
    Ali, Syed Riaz Mahmood
    Mensi, Walid
    Anik, Kaysul Islam
    Rahman, Mishkatur
    Kang, Sang Hoon
    ECONOMIC ANALYSIS AND POLICY, 2022, 73 : 345 - 372
  • [26] The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
    Zaremba, Adam
    Kizys, Renatas
    Tzouvanas, Panagiotis
    Aharon, David Y.
    Demir, Ender
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2021, 71
  • [27] The impact of COVID-19 pandemic on Islamic versus conventional stock markets: international evidence from financial markets
    Nomran, Naji Mansour
    Haron, Razali
    FUTURE BUSINESS JOURNAL, 2021, 7 (01)
  • [28] Sharia Stock Reaction Against COVID-19 Pandemic: Evidence from Indonesian Capital Markets
    Ryandono, Muhamad Nafik Hadi
    Muafi, Muafi
    Guritno, Agung
    JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (02): : 697 - 710
  • [29] The impact of COVID-19 pandemic on Islamic versus conventional stock markets: international evidence from financial markets
    Naji Mansour Nomran
    Razali Haron
    Future Business Journal, 7
  • [30] Connectedness of Vietnamese bank stock returns under the impact of the COVID-19 pandemic
    Ha, Nguyen Phu
    Anh, Luong Tram
    Thai, Le Hong
    BANKS AND BANK SYSTEMS, 2024, 18 (04)
12345