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2022 | OriginalPaper | Buchkapitel

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

verfasst von : Salma Tarchella, Hela Mzoughi, Fateh Belaid

Erschienen in: Financial Market Dynamics after COVID 19

Verlag: 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.

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Vorheriges Kapitel Economic Sentiment and Climate Transition During the COVID-19 Pandemic

Financial Times: Global recession already here, say top economists.: https://www.ft.com/content/be732afe-6526-11ea-a6cd-df28cc3c6a68

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.

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J should describe the maximum integer such that 2^j has a value less than the number of observations.

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The stoppage of economic activities in the world has pushed oil consumption down sharply and even into negative demand.

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Titel: The Impact of COVID-19 on the Volatility Transmission Across Equity and Commodity Markets
verfasst von: Salma Tarchella
Hela Mzoughi
Fateh Belaid
Verlag: Springer International Publishing
Buch: Financial Market Dynamics after COVID 19
Print ISBN: 978-3-030-98541-7

Electronic ISBN: 978-3-030-98542-4

Copyright-Jahr: 2022
DOI: https://doi.org/10.1007/978-3-030-98542-4_8