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

Ahmed Ayadi , Marjène Gana , Stéphane Goutte (1, 2) , Khaled Guesmi

1 VNU - Vietnam National University [Hanoï]
2 Cemotev - Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités

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

Mots clés: Crude Oil; Natural Gas; Electricity; Metals; Precious Metals; Agricultural Oils; Chemicals; Feeds; Fibers; Forestry Products; Grains; Live Stocks; Oil Seeds; Equity-commodity contagion; Three-factor CAPM; Financial crises

Domaines: Economies et finances; Méthodes et statistiques; Mathématiques [math]; Applications [stat.AP]; Probabilités [math.PR]; Statistiques [math.ST]; Économie et finance quantitative [q-fin]; Finance quantitative [q-fin.CP]; Pricing [q-fin.PR]; Econométrie de la finance [q-fin.ST]

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⟩