The Unprecedented Equity and Commodity Markets Reaction to COVID-19
11 Pages Posted: 20 May 2020 Last revised: 11 Jun 2020
Date Written: May 20, 2020
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: Suggested Citation