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Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak
(
Elsevier
, 2021 , Article)
In this study, we examine oil price extreme tail risk spillover to individual Gulf Cooperation Council (GCC) stock markets and quantify this spillover's shift before and during the COVID-19 pandemic. A dynamic conditional ...
Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
(
Elsevier
, 2022 , Article)
This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness ...