Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
<p dir="ltr">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 between these markets during the COVID-19 pandemi...
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2022
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| Summary: | <p dir="ltr">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 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.</p><h2>Other Information</h2><p dir="ltr">Published in: Finance Research Letters<br>License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.frl.2021.102373" target="_blank">https://dx.doi.org/10.1016/j.frl.2021.102373</a></p> |
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