Benlagha Noureddine, Omari Salaheddine El
Department of Finance and Economics, College of Business and Economics, Qatar University, P.O.X. 2713, Doha, Qatar.
Financ Res Lett. 2022 May;46:102373. doi: 10.1016/j.frl.2021.102373. Epub 2021 Aug 10.
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.
本文旨在通过应用一种新的动态条件相关广义自回归条件异方差（DCC-GARCH）连通性方法，探讨新冠疫情对黄金、石油和五个主要股票市场之间动态连通性的影响。我们发现，与疫情前相比，新冠疫情期间这些市场之间的连通性更强。我们还发现，在疫情期间，黄金是五个股票市场冲击的接受者，而石油是冲击的净传递者。
