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المؤلفMohammed M., Elgammal
المؤلفAhmed, Walid M.A.
المؤلفAlshami, Abdullah
تاريخ الإتاحة2024-07-23T10:10:54Z
تاريخ النشر2021-09-09
اسم المنشورResources Policy
المعرّفhttp://dx.doi.org/10.1016/j.resourpol.2021.102334
الاقتباسElgammal, M. M., Ahmed, W. M., & Alshami, A. (2021). Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. Resources Policy, 74, 102334.
الرقم المعياري الدولي للكتاب0301-4207
معرّف المصادر الموحدhttps://www.sciencedirect.com/science/article/pii/S0301420721003433
معرّف المصادر الموحدhttp://hdl.handle.net/10576/56976
الملخصThis 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.
اللغةen
الناشرElsevier
الموضوعCOVID-19
Coronavirus
Stock markets
Gold markets
Energy markets
Mean and volatility spillovers
العنوانPrice and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic
النوعArticle
رقم المجلد74
ESSN1873-7641
dc.accessType Open Access


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