Purpose

This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis.

Design/methodology/approach

A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized autoregressive conditional heteroskedasticity model (BEKK-GARCH) is used to assess volatility transmission across the examined markets. The sample is divided as follows. The first period ranging from 02/01/2019 to 10/03/2020 defines the pre-COVID-19 crisis. The second period is from 11/03/2020 to 05/10/2020, representing the COVID-19 crisis period. Then, a robustness test is used using exponential GARCH models after including an exogenous variable capturing the growth of COVID-19 confirmed death cases worldwide with the aim to test the accuracy of the VAR-BEKK-GARCH estimated results.

Findings

Results indicate that the interconnectedness among the examined market has been intensified during the COVID-19 crisis, proving the lack of hedging opportunities. It is also found that stocks and Gold markets lead the crude oil market especially during the COVID-19 crisis, which explains the freefall of the crude oil price during the health crisis. Similarly, results show that Gold is most likely to act as a diversifier rather than a hedging tool during the current health crisis.

Originality/value

Although the recent studies in the field focused on analyzing the relationships between different markets during the first quarter of 2020, this study considers a larger data set with the aim to assess the volatility transmission across the examined international markets Amid the COVID-19 crisis, while it shows the most significant impact on various financial markets compared to other diseases.

中文翻译：

---

COVID 19 大流行期间国际市场的波动性传导

目的

本文旨在研究新型冠状病毒 (COVID-19) 危机之前和期间股票、黄金和原油市场的波动性传递。

设计/方法/方法

多元向量自回归 (VAR)-Baba、Engle、Kraft 和 Kroner 广义自回归条件异方差模型 (BEKK-GARCH) 用于评估跨检查市场的波动率传递。样本划分如下。从 02/01/2019 到 10/03/2020 的第一个时期定义了 COVID-19 之前的危机。第二个时期是 11/03/2020 至 05/10/2020，代表 COVID-19 危机时期。然后，在包含捕获全球 COVID-19 确诊死亡病例增长的外生变量后，使用指数 GARCH 模型进行稳健性测试，目的是测试 VAR-BEKK-GARCH 估计结果的准确性。

发现

结果表明，在 COVID-19 危机期间，所检查市场之间的相互关联性得到加强，证明缺乏对冲机会。还发现股票和黄金市场引领原油市场，尤其是在 COVID-19 危机期间，这解释了健康危机期间原油价格的自由落体。同样，结果表明，在当前的健康危机期间，黄金最有可能充当多元化工具而非对冲工具。

原创性/价值

尽管该领域最近的研究侧重于分析 2020 年第一季度不同市场之间的关系，但本研究考虑了更大的数据集，目的是评估在 COVID-19 危机期间所考察的国际市场的波动性传导，同时与其他疾病相比，它对各种金融市场的影响最为显着。