Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
journal contribution
submitted on 2023-10-25, 05:41 and posted on 2023-10-25, 05:52 authored by Noureddine Benlagha, Salaheddine El OmariThis 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 between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks.
Other Information
Published in: Finance Research Letters
License: http://creativecommons.org/licenses/by/4.0/
See article on publisher's website: https://dx.doi.org/10.1016/j.frl.2021.102373
Funding
Open Access funding provided by the Qatar National Library
History
Language
- English
Publisher
ElsevierPublication Year
- 2022
License statement
This Item is licensed under the Creative Commons Attribution 4.0 International LicenseInstitution affiliated with
- Qatar University
- College of Business and Economics - QU
