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http://repositorio.ufla.br/jspui/handle/1/45551| Título : | The unprecedented reaction of equity and commodity markets to COVID-19 |
| Autor: | Ben Amar, Amine Belaid, Fateh Ben Youssef, Adel Chiao, Benjamin Guesmi, Khaled |
| Palavras-chave: | COVID-19 Coronavirus SARS-CoV-2 Stock markets Spillover index Cross-wavelet coherence Mercado de ações Índice de transbordamento Coerência entre ondas |
| Publicador: | Elsevier |
| Data da publicação: | 2020 |
| Referência: | BEN AMAR, A. et al. The unprecedented reaction of equity and commodity markets to COVID-19. Finance Research Letters, [S. l.], 2020. DOI: https://doi.org/10.1016/j.frl.2020.101853. |
| 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. |
| URI: | https://www.sciencedirect.com/science/article/pii/S1544612320316676#! http://repositorio.ufla.br/jspui/handle/1/45551 |
| Idioma: | en_US |
| Aparece nas coleções: | FCS - Artigos sobre Coronavirus Disease 2019 (COVID-19) |
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