This study extends the findings of previous research concerning the correlation and volatility transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). Indeed, we examine the contagion transmission mechanism between regional equity markets including the 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 although most of the commodities decoupled during the global financial crisis, the Irish banking crisis and the European debt crisis, there is strong evidence of contagion detected during the BREXIT.

本研究扩展了先前关于股票和商品市场之间的相关性和波动性传递的研究结果，并尝试使用国际资本资产定价模型 (ICAPM) 记录在四次危机期间这些市场之间传染的证据。事实上，我们研究了包括美国、西欧和金砖国家在内的地区股票市场之间的传染传导机制；和十六类商品（原油、天然气、电力、金属、贵金属、农用油、化学品、饲料、纤维、林产品、谷物、牲畜、油籽、种子、半导体和软制品）。我们发现，虽然大部分商品在全球金融危机、爱尔兰银行业危机和欧债危机期间脱钩，