ABSTRACT
Natural resource commodities are considered an important factor for economic growth and development. However, volatility in these commodities is a topic of interest, which currently has the attention of scholars. In this regard, the current study investigates volatility in global natural resource commodities while undertaking the Covid-19 pandemic. This study used coal rents (CR), forest rents (FR), mineral rents (MR), natural gas rents (NGR), oil rents (OR), and total natural resource rents (TNRR) to comprehensively measure volatility in natural resource commodities during the period from 1971 to 2020. For empirical investigation of volatility, this study employed autoregressive conditional heteroscedasticity (ARCH) specification, which indicates that CR, FR, MR, and NGR hold no volatility throughout the study period. However, OR and TNRR are found to be volatile throughout the period and during the Covid-19 pandemic. Besides, the generalized threshold ARCH (TGARCH) and exponential generalized ARCH (EGARCH) provide no evidence of positive-negative shocks asymmetry. Also, the results do not provide evidence that negative shock enhances volatility in natural resource commodities more than that of positive shock having the same magnitude. Based on the empirical findings, this study recommends some policy implications in the end.
ABSTRACT
Equity markets are prone to several external factors, especially in the lethal pandemic situation when the uncertainty regarding the spread of the COVID disrupts the daily financial and economic activities along with the sharp decline in the oil price causing severe devastations to people not just in terms of life and health but also in the form of finance. Therefore, to assess the presence of empirical association of the oil price, Covid-19, and news-based uncertainty with the equity market condition, the method of QARDL was applied in the current investigation. The results revealed that the relationship of OIL was found to be positive and significant across all of the quantiles of the Stock Price Index (SPI); news-based uncertainty was found to be negative and significant across all of the quantiles of SPI, whereas COVID19 has the negative and significant impact on SPI only in the bearish and stable market conditions. Based on the findings, balance government interventions are recommended, balancing the generation of economic activities and counter COVID spread.