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

被引：64

作者：

Amar, Amine Ben ^{[1
]}

Belaid, Fateh ^{[2
]}

Youssef, Adel Ben ^{[3
]}

Chiao, Benjamin ^{[4
]}

Guesmi, Khaled ^{[5
]}

机构：

[1] Int Univ Rabat, RBS Coll Management, BEAR Lab, Rabat, Morocco

[2] Catholic Univ Lille, UMR 9221, LEM Lille Econ Management, Lille, France

[3] Univ Cote Azur, GREDEG, CNRS, Nice, France

[4] Southwestern Univ Finance & Econ, CCBEF, Chengdu, Peoples R China

[5] Paris Sch Business, Ctr Res Energy & Climate Change, CRECC, Paris, France

来源：

FINANCE RESEARCH LETTERS | 2021年 / 38卷

关键词：

COVID-19; Stock markets; Spillover index; Cross-wavelet coherence; IMPULSE-RESPONSE ANALYSIS; WAVELET;

D O I：

10.1016/j.frl.2020.101853

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous timefrequency 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.

引用

页数：7

共 20 条

[1]

[Anonymous], 2019, BP STAT REV WORLD EN

[2]

[Anonymous], 2018, INT FINANCE DISCUSSI

[3] The Unprecedented Stock Market Reaction to COVID-19 [J].