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2022 | OriginalPaper | Chapter

The Impact of COVID-19 on the Volatility Transmission Across Equity and Commodity Markets

Authors: Salma Tarchella, Hela Mzoughi, Fateh Belaid

Published in: Financial Market Dynamics after COVID 19

Publisher: Springer International Publishing

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Abstract

The economic impact of the containment measures enacted in most countries as a result of the health crisis caused by the COVID-19 pandemic is unprecedented. Within this context, the main purpose of this analysis is to explore the impact of COVID-19 on the volatility transmission among American, European, and Chinese stock, energy, and commodity markets, both in the short and long-run. The empirical findings highlight that the COVID-19 pandemic has a strong impact on the linkages between the studied markets. The volatilities, correlations, and connectedness are stronger during the COVID-19 time lapse. However, these results vary between the short-run and the long-run investment horizons.
Footnotes
1
Financial Times: Global recession already here, say top economists.: https://​www.​ft.​com/​content/​be732afe-6526-11ea-a6cd-df28cc3c6a68
 
2
The selection of these markets is motivated by many reasons. First, the Chinese stock market is highly integrating and a substantial increase in the dependence between it and other market (Wu et al. 2019; Xiao 2020). Second, the Chinese market acts as the epicenter of both physical and financial contagion (Corbet et al. 2020). Finally, the American and the European are two superpowers that are also affected by this novel virus.
 
3
To learn more about the advantages of using this technique, see In and Kim (2006).
 
4
J should describe the maximum integer such that 2j has a value less than the number of observations.
 
5
Even the DWT is very used in economic research, the CWT it is also, due to their advantages related to data decomposition of many variables at the same time, see Grinsted et al. (2004).
 
6
The choice of a filter length L = 8 responds to the reasonable strategy suggesting that using the smallest L that gives reasonable results and provides the most accurate time-alignment between wavelet coefficients at various scales and the original time-series.
 
7
The stoppage of economic activities in the world has pushed oil consumption down sharply and even into negative demand.
 
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Metadata
Title
The Impact of COVID-19 on the Volatility Transmission Across Equity and Commodity Markets
Authors
Salma Tarchella
Hela Mzoughi
Fateh Belaid
Copyright Year
2022
DOI
https://doi.org/10.1007/978-3-030-98542-4_8

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