The unprecedented reaction of equity and commodity markets to COVID-19

Amine Ben Amar; Fateh Belaid; Adel Ben Youssef; Benjamin Chiao; Khaled Guesmi

doi:10.1016/j.frl.2020.101853

The unprecedented reaction of equity and commodity markets to COVID-19

Financ Res Lett. 2021 Jan:38:101853. doi: 10.1016/j.frl.2020.101853. Epub 2020 Nov 18.

Authors

Amine Ben Amar¹, Fateh Belaid², Adel Ben Youssef³, Benjamin Chiao⁴, Khaled Guesmi⁵

Affiliations

¹ International University of Rabat, RBS College of Management - BEAR Lab, Morocco.
² Catholic University of Lille, UMR 9221-LEM-Lille Économie Management, France.
³ University Côte d'Azur, GREDEG-CNRS, France.
⁴ CCBEF of Southwestern University of Finance and Economics, China.
⁵ Paris School of Business, Center of Research for Energy and Climate Change, CRECC, France.

Abstract

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock.

Keywords: COVID-19; Cross-wavelet coherence; Spillover index; Stock markets.