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The Unprecedented Equity and Commodity Markets Reaction to COVID-19
Archive ouverte : Article de revue
Edité par HAL CCSD
International audience. 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.
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