Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2021

Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS

Résumé

This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). We study existence of contagion transmission mechanism between regional equity markets (USA, Western Europe and the BRICS) and sixteen categories of commodities
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Dates et versions

halshs-03169699 , version 1 (15-03-2021)

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  • HAL Id : halshs-03169699 , version 1

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Ahmed Ayadi, Marjène Gana, Stéphane Goutte, Khaled Guesmi. Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS. 2021. ⟨halshs-03169699⟩
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