This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic. Using a Markov-switching vector autoregressive model, we show that stock markets were mainly influenced by their own shocks, with effects that were sensitive to regime shifts. Connectedness network analysis reveals that gold and stock markets were net contributors (receivers) of spillovers in the low-volatility regime (high-volatility regime), while oil was a major receiver (contributor) of spillovers in the low-volatility regime (high volatility regime). Regimes were mainly low-volatility from January 2019 to February 2020 and high-volatility from March 2020 to May 2020. We conclude that the COVID-19 pandemic intensified spillovers from commodity markets to the US and Chinese stock markets.

Mensi, W., Reboredo, J., & Ugolini, A. (2021). Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic. RESOURCES POLICY, 73(October 2021) [10.1016/j.resourpol.2021.102217].

Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic

Ugolini A.
2021

Abstract

This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic. Using a Markov-switching vector autoregressive model, we show that stock markets were mainly influenced by their own shocks, with effects that were sensitive to regime shifts. Connectedness network analysis reveals that gold and stock markets were net contributors (receivers) of spillovers in the low-volatility regime (high-volatility regime), while oil was a major receiver (contributor) of spillovers in the low-volatility regime (high volatility regime). Regimes were mainly low-volatility from January 2019 to February 2020 and high-volatility from March 2020 to May 2020. We conclude that the COVID-19 pandemic intensified spillovers from commodity markets to the US and Chinese stock markets.
Si
Articolo in rivista - Articolo scientifico
Scientifica
Chinese and US stock markets; COVID-19; MS-VAR model; Strategic commodity;
English
Mensi, W., Reboredo, J., & Ugolini, A. (2021). Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic. RESOURCES POLICY, 73(October 2021) [10.1016/j.resourpol.2021.102217].
Mensi, W; Reboredo, J; Ugolini, A
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/334023
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