Fresh evidence on connectedness between prominent markets during COVID-19 pandemic.
Environ Sci Pollut Res Int
; 2022 Oct 26.
Article
in English
| MEDLINE | ID: covidwho-2287986
ABSTRACT
Various empirical studies have examined the nexus between financial markets, but this study focused on the comovement among prominent markets. Our study examines the interrelationship among main financial markets, i.e., stock, oil, and commodity during the recent pandemic. The interconnections among the selected markets are investigated using a battery of wavelet coherence tools and the Granger causality test. From the wavelet coherence analysis, our findings indicate strong co-movements among the VIX, oil volatility, and commodity prices during pandemic and localized in all scales and over the sample period. The dependency strength among the considered economies is noted to increase in pandemic, which implies increased short- and long-term benefits for the investors. Moreover, Our result exhibits a feedback causality between OVIX and crude oil, VIX and S&P 500, and gasoline and VIX. Interestingly, a unidirectional causality exists between VIX and crude oil, S&P 500 and crude oil, Brent and crude oil, gasoline, crude oil, and VIX and OVIX. We advocate that the findings will be helpful for portfolio managers, investors, and officials around the world.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Language:
English
Journal subject:
Environmental Health
/
Toxicology
Year:
2022
Document Type:
Article
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