The Unprecedented Equity and Commodity ...
Type de document :
Compte-rendu et recension critique d'ouvrage
DOI :
Titre :
The Unprecedented Equity and Commodity Markets Reaction to COVID-19
Auteur(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]
Titre de la revue :
SSRN Electronic Journal
Pagination :
101853
Éditeur :
Elsevier
Date de publication :
2020-05-20
Mot(s)-clé(s) en anglais :
COVID-19
Stock Markets
spillover index
cross-wavelet coherence
Stock Markets
spillover index
cross-wavelet coherence
Discipline(s) HAL :
Sciences de l'Homme et Société/Economies et finances
Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >
Lire la suite >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.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :