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

被引：76
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.
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