Price and Volatility Spillovers between Global Equity, Gold, and Energy Markets Prior to and during the COVID-19 Pandemic

49 Pages Posted: 20 Sep 2020

See all articles by Mohammed Elgammal

Mohammed Elgammal

Qatar University - College of Business and Economics

Walid M.A. Ahmed

Ahmed Bin Mohammed Military College

Abdullah Alshami

University of Aberdeen

Date Written: September 18, 2020

Abstract

This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH(p, q) framework, after orthogonalizing raw returns with respect to a rich set of relevant universal factors. Under the COVID-19 regime, we find bidirectional return spillover effects between equity and gold markets, and unidirectional mean spillovers from energy markets to the equity and gold counterparts. The results also suggest the presence of large reciprocal shock spillovers between equity and both of energy and gold markets, and cross-shock spillovers from energy to gold markets. Most probably driven by the recent oil price collapse, energy markets appear to have a substantial cross-volatility spillover impact on the others. Our results offer implications for policymakers and investors.

Keywords: COVID-19; coronavirus; stock markets; gold markets; energy markets; mean and volatility spillovers

JEL Classification: C22, C30, F30, G11, G15

Suggested Citation

Elgammal, Mohammed and Ahmed, Walid M.A. and Alshami, Abdullah, Price and Volatility Spillovers between Global Equity, Gold, and Energy Markets Prior to and during the COVID-19 Pandemic (September 18, 2020). Available at SSRN: https://ssrn.com/abstract=3695075 or http://dx.doi.org/10.2139/ssrn.3695075

Mohammed Elgammal (Contact Author)

Qatar University - College of Business and Economics ( email )

2713 Doha
Qatar

Walid M.A. Ahmed

Ahmed Bin Mohammed Military College ( email )

Doha
Qatar

Abdullah Alshami

University of Aberdeen ( email )

Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom

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