Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS

45 Pages Posted: 19 Mar 2021

See all articles by Stephane Goutte

Stephane Goutte

University Paris-Saclay, UMI Source, UVSQ

Khaled Guesmi

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

M. Rabah Gana

Ecole Polytechnique de Tunisie- Carthage University

Ahmed AYADI

University of Paris 8 Vincennes-Saint Denis; LEFA – IHEC Carthage

Date Written: March 15, 2021

Abstract

This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and at- tempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). We study existence of contagion transmission mechanism between regional equity markets (USA, Western Europe and the BRICS) and sixteen categories of commodities (Crude Oil, Natural Gas, Electricity, Metals, Precious Metals, Agricultural Oils, Chemicals, Feeds, Fibers, Forestry Products, Grains, Live Stocks, Oil Seeds, Seeds, Semi-Conductors, and Softs). We find that while most of the commodities decoupled from the Global financial crisis, the Irish Banking crisis and the European debt crisis, evidence of contagion were detected during the BREXIT.

Keywords: Equity-commodity contagion, Three-factor CAPM, Financial crises

Suggested Citation

Goutte, Stephane and Guesmi, Khaled and Rabah Gana, Marjène and AYADI, Ahmed and AYADI, Ahmed, Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS (March 15, 2021). Available at SSRN: https://ssrn.com/abstract=3804900 or http://dx.doi.org/10.2139/ssrn.3804900

Stephane Goutte (Contact Author)

University Paris-Saclay, UMI Source, UVSQ ( email )

47 Boulevard Vauban
Guyancourt, 78280
France

HOME PAGE: http://https://sites.google.com/site/mathgoutte/

Khaled Guesmi

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

France

Marjène Rabah Gana

Ecole Polytechnique de Tunisie- Carthage University ( email )

B.P. 743
La Marsa, 2078
Tunisia

Ahmed AYADI

LEFA – IHEC Carthage ( email )

France

University of Paris 8 Vincennes-Saint Denis ( email )

Paris
France

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