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

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  • Mensi, Walid
  • Reboredo, Juan C.
  • Ugolini, Andrea

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.

Suggested Citation

  • Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea, 2021. "Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002294
    DOI: 10.1016/j.resourpol.2021.102217
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    More about this item

    Keywords

    COVID-19; Chinese and US stock markets; Strategic commodity; MS-VAR model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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