Abstract
This study is aiming on investigating the relationship between the US stock, commodity, and virtual markets. Using a vector autoregressive model, we study the impulse response signal over the period going from December 02, 2019, to May 28, 2021, catching the time of the first appearance of the coronavirus pandemic. Our results outcomes that the commodity and cryptocurrency markets behave the same way for the S & P 500 stock market during the pandemic while the response of the commodity market is respectively unbalanced and positive for the US stock and cryptocurrencies markets. The virtual market, on the other hand, is found to behave differently when there is shocks emanating from the remaining two markets. In terms of variance decomposition, we realize that the commodity market explains 21% of the forecast error variance in the U.S. stock market which is the highest share of forecast for the three markets during the sanitary crisis. Our finding clarifies the necessity for investors to take into account the dependence of the three markets understudy to make better investment policies during a crisis.
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Notes
- 1.
The Goldman Sachs Commodity Index (GSCI) is a commodity index that gather 24 traded futures on commodity exchanges. It was first calculated by Goldman Sachs before being taken over by Standard Poor’s; hence, the notation S&P GSCI.
- 2.
The suitable lag length selection criteria was found via the AIC information criteria test and results show that four lags are relevant for our model.
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Ben Osman, M., Naoui, K. (2022). The Relationship Between US Stock, Commodity and Virtual Markets During COVID-19 Forced Crisis. In: Goutte, S., Guesmi, K., Urom, C. (eds) Financial Market Dynamics after COVID 19 . Contributions to Finance and Accounting. Springer, Cham. https://doi.org/10.1007/978-3-030-98542-4_2
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