The Impact of COVID-19 Pandemic on Interconnectedness Among Major Financial Assets: Evidence From the US Economy
36 Pages Posted: 16 Dec 2022
Date Written: July 15, 2022
Abstract
The outbreak of COVID-19 pandemic and its economic impact has created a havoc across all economies of the globe and amplifying the financial market volatility. The aim of this study is to investigate the impact of COVID-19 pandemic on interdependence and relationship among oil market, stock market, bond market, foreign exchange market and commodity market before and during the COVID-19 using daily data for the period 21/10/2019 to 22/4/2020. The empirical outcomes estimated by applying quantile regression indicate that only stock and bond markets are significantly interdependence before the outbreak of COVID-19 pandemic. The numerical estimates further explain the significant dependence of commodity market on oil market and oil market on stock market in the similar period. However, the results shows that the level of interdependence among major US markets increases during the COVID-19 period. Our findings offer several prominent implications to policymakers and portfolio managers.
Keywords: COVID-19; Oil market; Financial markets; Foreign exchange market; Commodity market; Quantile regression
JEL Classification: C31; G01; G1
Suggested Citation: Suggested Citation