The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets
Tài liệu tham khảo
Aloui, D., Goutte, S., Guesmi, K., Hchaichi, R. (2020). COVID 19’s impact on crude oil and natural gas S&P GS Indexes. Available at SSRN 3587740.
Beckmann, 2015, Does gold act as a hedge or a safe haven for stocks? A smooth transition approach, Econ. Model., 48, 16, 10.1016/j.econmod.2014.10.044
Bedoui, 2019, On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model, Energy Econ., 80, 876, 10.1016/j.eneco.2019.02.002
Baumeister, 2016, Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us, Econ. Perspect., 30, 139, 10.1257/jep.30.1.139
Baur, 2010, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financ. Rev., 45, 217, 10.1111/j.1540-6288.2010.00244.x
Baur, 2010, Is gold a safe haven? International evidence, J. Bank. Financ., 34, 1886, 10.1016/j.jbankfin.2009.12.008
Corbet, 2020, The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies, Financ. Res. Lett., 35, 10.1016/j.frl.2020.101554
Diks, 2006, A new statistic and practical guidelines for nonparametric Granger causality testing, J. Econ. Dyn. Control, 30, 1647, 10.1016/j.jedc.2005.08.008
Diks, 2005, A note on the Hiemstra-Jones test for Granger non-causality, Stud. Nonlinear Dyn. Econom., 9
Ding, 2017, The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment, Appl. Energy, 187, 27, 10.1016/j.apenergy.2016.11.037
Domanski, 2015, Oil and debt, BIS Q. Rev., 55
Ewing, 2013, Volatility transmission between gold and oil futures under structural breaks, Int. Rev. Econ. Financ., 25, 113, 10.1016/j.iref.2012.06.008
Fantazzini, 2016, The oil price crash in 2014/15: was there a (negative) financial bubble?, Energy Policy, 96, 383, 10.1016/j.enpol.2016.06.020
Granger, 1969, Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, 37, 424, 10.2307/1912791
Hillier, 2006, Do precious metals shine? An investment perspective, Financ. Anal. J., 62, 98, 10.2469/faj.v62.n2.4085
Holmes, 2020
Kaul, 2006, Y2K fears and safe haven trading of the U.S. dollar, J. Int. Money Financ., 25, 760, 10.1016/j.jimonfin.2006.04.003
Maijama'a, 2020, Corona Virus Outbreak and the Global Energy Demand: A Case of People's Republic of China, Am. J. Environ. Resour. Econ., 5, 10, 10.11648/j.ajere.20200501.12
Narayan, 2010, Gold and oil futures markets: are markets efficient?, Appl. Energy, 87, 3299, 10.1016/j.apenergy.2010.03.020
Phillips, 2015, Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500, Int. Econ. Rev. (Phila.), 56, 1043, 10.1111/iere.12132
Phillips, 2015, Testing for multiple bubbles: limit theory of real-time detectors, Int. Econ. Rev. (Phila.), 56, 1079, 10.1111/iere.12131
Phillips, 2018, Financial bubble implosion and reverse regression, Econometric Theory, 34, 705, 10.1017/S0266466617000202
Sharma, 2018, Identifying price bubble periods in the energy sector, Energy Econ., 69, 418, 10.1016/j.eneco.2017.12.007
Sharif, 2020, COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach, Int. Rev. Financ. Anal., 70, 10.1016/j.irfa.2020.101496
Shi, 2018, Change detection and the causal impact of the yield curve, J. Time Ser. Anal., 39, 966, 10.1111/jtsa.12427
Soytas, 2009, World oil prices, precious metal prices and macroeconomy in Turkey, Energy Policy, 37, 5557, 10.1016/j.enpol.2009.08.020
Su, 2017, When will occur the crude oil bubbles?, Energy Policy, 102, 1, 10.1016/j.enpol.2016.12.006
Swanson, 1998, Money and output viewed through a rolling window, J. Monet. Econ., 41, 455, 10.1016/S0304-3932(98)00005-1
Thoma, 1994, Subsample instability and asymmetries in money-income causality, J. Econom., 64, 279, 10.1016/0304-4076(94)90066-3
Tokic, 2015, The 2014 oil bust: Causes and consequences, Energy Policy, 85, 162, 10.1016/j.enpol.2015.06.005
World Economic Forum. (2020). Mad March: how the stock market is being hit by COVID-19. Retrieved fromhttps://www.weforum.org/agenda/2020/03/stock-market-volatility-coronavirus/.
Yilmazkuday, H. (2020). Coronavirus disease 2019 and the global economy. Available at SSRN 3554381.
Zhang, 2010, The crude oil market and the gold market: Evidence for cointegration, causality and price discovery, Resour. Policy, 35, 168, 10.1016/j.resourpol.2010.05.003
Zhao, 2020, Identifying bubbles and the contagion effect between oil and stock markets: new evidence from China, Econ. Model.