The Unprecedented Equity and Commodity Markets Reaction to COVID-19

11 Pages Posted: 20 May 2020 Last revised: 11 Jun 2020

See all articles by Amine Ben Amar

Amine Ben Amar

UIR, RBS College of Management, BEAR Lab

Fateh Bélaïd

Faculty of Management, Economics & Sciences, Lille Catholic University

Adel Ben Youssef

Université de Nice Sophia Antipolis

Benjamin Chiao

CCBEF of Southwestern University of Finance and Economics, China

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change

Date Written: May 20, 2020

Abstract

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.

Keywords: COVID-19, Stock Markets, spillover index, cross-wavelet coherence.

JEL Classification: C32; F42; G15

Suggested Citation

Ben Amar, Amine and Bélaïd, Fateh and Ben Youssef, Adel and Chiao, Benjamin and Guesmi, Khaled, The Unprecedented Equity and Commodity Markets Reaction to COVID-19 (May 20, 2020). Available at SSRN: https://ssrn.com/abstract=3606051 or http://dx.doi.org/10.2139/ssrn.3606051

Amine Ben Amar (Contact Author)

UIR, RBS College of Management, BEAR Lab ( email )

Rabat
Morocco

HOME PAGE: http://https://sites.google.com/site/aminebenamar/home

Fateh Bélaïd

Faculty of Management, Economics & Sciences, Lille Catholic University ( email )

UMR 9221-LEM-Lille Économie Management, F-59000
Lille
France

Adel Ben Youssef

Université de Nice Sophia Antipolis ( email )

250, rue Albert Einstein
B.P. 70
Sophia Antipolis, 06560
France

Benjamin Chiao

CCBEF of Southwestern University of Finance and Economics, China ( email )

China

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change ( email )

France

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