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

Abstract : 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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https://halshs.archives-ouvertes.fr/halshs-03169699
Contributor : Stéphane Goutte Connect in order to contact the contributor
Submitted on : Monday, March 15, 2021 - 3:27:21 PM
Last modification on : Wednesday, October 20, 2021 - 12:24:16 AM
Long-term archiving on: : Wednesday, June 16, 2021 - 6:57:45 PM

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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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