Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS
45 Pages Posted: 19 Mar 2021
Date Written: March 15, 2021
Abstract
This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and at- tempts 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 (Crude Oil, Natural Gas, Electricity, Metals, Precious Metals, Agricultural Oils, Chemicals, Feeds, Fibers, Forestry Products, Grains, Live Stocks, Oil Seeds, Seeds, Semi-Conductors, and Softs). We find that while most of the commodities decoupled from the Global financial crisis, the Irish Banking crisis and the European debt crisis, evidence of contagion were detected during the BREXIT.
Keywords: Equity-commodity contagion, Three-factor CAPM, Financial crises
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