The Unprecedented Equity and Commodity ...
Document type :
Compte-rendu et recension critique d'ouvrage
DOI :
Title :
The Unprecedented Equity and Commodity Markets Reaction to COVID-19
Author(s) :
Ben Amar, Amine [Auteur]
Belaid, Fateh [Auteur]
Lille économie management - UMR 9221 [LEM]
Ben Youssef, Adel [Auteur]
Chiao, Benjamin [Auteur]
Guesmi, Khaled [Auteur]
Belaid, Fateh [Auteur]
Lille économie management - UMR 9221 [LEM]
Ben Youssef, Adel [Auteur]
Chiao, Benjamin [Auteur]
Guesmi, Khaled [Auteur]
Journal title :
SSRN Electronic Journal
Pages :
101853
Publisher :
Elsevier
Publication date :
2020-05-20
English keyword(s) :
COVID-19
Stock Markets
spillover index
cross-wavelet coherence
Stock Markets
spillover index
cross-wavelet coherence
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among ...
Show more >Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the considered markets, the Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillover is time-varying and reaches its highest level during the COVID-19 medical shock.Show less >
Show more >Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the considered markets, the Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillover is time-varying and reaches its highest level during the COVID-19 medical shock.Show less >
Language :
Anglais
Popular science :
Non
Collections :
Source :