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AuthorMohammed M., Elgammal
AuthorAhmed, Walid M.A.
AuthorAlshami, Abdullah
Available date2024-07-23T10:10:54Z
Publication Date2021-09-09
Publication NameResources Policy
Identifierhttp://dx.doi.org/10.1016/j.resourpol.2021.102334
CitationElgammal, 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.
ISSN0301-4207
URIhttps://www.sciencedirect.com/science/article/pii/S0301420721003433
URIhttp://hdl.handle.net/10576/56976
AbstractThis 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.
Languageen
PublisherElsevier
SubjectCOVID-19
Coronavirus
Stock markets
Gold markets
Energy markets
Mean and volatility spillovers
TitlePrice and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic
TypeArticle
Volume Number74
ESSN1873-7641
dc.accessType Open Access


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