COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

Mensi, Walid; Vo, Xuan Vinh; Kang, Sang Hoon

doi:10.1016/j.eap.2022.04.001

Cited by 52 publications

(17 citation statements)

References 82 publications

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“…Zhang et al [9] concluded from a study of the volatility of 10 stock markets in countries with the highest number of confirmed cases in a given period that the volatility of their stocks increased substantially during that period due to COVID-19. The study by Ashraf found that the growth in the number of confirmed cases of COVID-19 has a negative correlation with the stock market, indicating that a pandemic can have a strong negative impact on the stock market [10] . In addition, considering the volatility pass-through of the stock market to gold and oil, Mensi et al [11] further found that the pandemic also has a significant impact on the gold and oil markets, with lower hedging effectiveness for both oil and gold due to the uncertainty during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%

Pandemic Bonds Issued by the Chinese Government Supported Post-Disaster Recovery from COVID-19 Pandemic

Liu

Kong

et al. 2022

J. Soc. Comput.

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During the SARS-CoV-2 (COIVD-19) outbreak, China repeatedly stressed that the response to the pandemic required action at all levels of government, including the issuance of Pandemic Bonds to help the country return to work and production. However, studies on the effectiveness of Pandemic Bonds during that period are rare. Starting with China's national financial bond market data after COVID-19 in 2020, this paper focuses on the correlation between the Credit Spreads of the relevant bonds and the corresponding bond market rate of return, based on the Copula model. The empirical analysis is also carried out for multiple dimensional groupings such as enterprises, industries, provinces, and bond maturities. The results show that there is a significant positive correlation between the Credit Spreads of Pandemic Bonds and market returns. In addition, the market correlation is higher for Pandemic Bonds issued in Hubei Province, which is at the center of the 2020 pandemic, and the shorter the maturity of the Pandemic Bond issued, the stronger the relationship with market returns. Finally, this paper provides recommendations for financial regulators and policy makers to consider in their decisions on how to build a more resilient financial system under heavy economic, fiscal, and social pressures.

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Section: Introductionmentioning

confidence: 99%

Pandemic Bonds Issued by the Chinese Government Supported Post-Disaster Recovery from COVID-19 Pandemic

Liu

Kong

et al. 2022

J. Soc. Comput.

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“…During the COVID-19 epidemic, however, time-varying conditional correlations between markets were higher. The COVID-19 pandemic has had a significant impact on the intraday volatility gap between oil, gold, and stock markets from 2019 to 2022 [111] .…”

Section: Introductionmentioning

confidence: 99%

Reviving the mutual impact of SARS-COV-2 and obesity on patients: From morbidity to mortality

Behl

Kumar

Singh

et al. 2022

Biomedicine & Pharmacotherapy

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“…Empirical studies have shown the negative relationship between oil prices and stock market returns based on the fact that oil prices are assumed as a risk factor for the stock market (Jones and Kaul ( 1996 )). Researchers such as Filis et al ( 2011 ), Chen ( 2010 ), Miller and Ratti ( 2009 ), and O’Neill et al ( 2008 ) have provided evidence proving this negative relationship, although, for oil-exporting countries, there seems to be a direct relationship between oil price shocks and stock market efficiency (Arouri and Rault 2010 ).…”

Section: Introductionmentioning

confidence: 99%

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

2022

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Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.

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COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

Cited by 52 publications

References 82 publications

Pandemic Bonds Issued by the Chinese Government Supported Post-Disaster Recovery from COVID-19 Pandemic

Pandemic Bonds Issued by the Chinese Government Supported Post-Disaster Recovery from COVID-19 Pandemic

Reviving the mutual impact of SARS-COV-2 and obesity on patients: From morbidity to mortality

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

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