Financial Contagion between Crude Oil, Gold, and Equity Sectors in India during COVID

Q2 Economics, Econometrics and Finance Indian Journal of Finance Pub Date : 2023-03-01 DOI:10.17010/ijf/2023/v17i3/172670

V. Pandey

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Abstract

Purpose: This study examined the financial contagion between crude oil and gold prices with the equity prices of different sectors in the Indian equity market during the recent COVID crisis. Design/Methodology/Approach: Dynamic conditional correlation (DCC) GARCH model was employed to analyze the behavior of time-varying conditional correlation during the time of COVID-19. For examining the financial contagion, regression analysis was performed on the dynamic conditional correlation and the conditional volatilities of the different markets. Findings: The DCC model showed a sharp increase in correlations between markets during the COVID-19 wave. It also suggested the presence of financial contagion between the crude oil and gold markets and the different equity sectors. It also indicated that the COVID-19 effect on the conditional correlation between gold and equity sectors was temporary. In contrast, it increased the correlation between crude oil and the equity sectors. Practical Implications: The findings of this study have implications for portfolio diversification methods because higher correlations lower the benefits of diversification. Originality: This study examined the financial contagion during COVID-19 from crude oil and gold to equity sectors. Not all sectors react in the same way to changes in the prices of these commodities, and some may witness less impact compared to others during the crisis period, which makes it interesting for the study. © 2023, Associated Management Consultants Pvt. Ltd.. All rights reserved.

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COVID期间印度原油、黄金和股票行业之间的金融传染

目的：本研究考察了在最近的新冠肺炎危机期间，原油和黄金价格与印度股市不同部门股票价格之间的金融传染。设计/方法/方法：采用动态条件相关性（DCC）GARCH模型分析新冠肺炎期间时变条件相关性的行为。为了检验金融传染，对不同市场的动态条件相关性和条件波动性进行了回归分析。研究结果：DCC模型显示，在新冠肺炎疫情期间，市场之间的相关性急剧增加。它还表明，原油和黄金市场以及不同的股票行业之间存在金融传染。它还表明，新冠肺炎对黄金和股票行业之间的条件相关性的影响是暂时的。相比之下，它增加了原油和股票行业之间的相关性。实际意义：这项研究的结果对投资组合多元化方法有意义，因为相关性越高，多元化的收益越低。原创：本研究考察了新冠肺炎期间从原油和黄金到股票行业的金融传染。并非所有部门对这些商品价格的变化都有相同的反应，在危机期间，一些部门的影响可能比其他部门小，这使得这项研究变得有趣。©2023，Associated Management Consultants Pvt.有限公司。保留所有权利。

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来源期刊

Indian Journal of Finance Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a double blind peer reviewed refereed monthly journal that publishes articles on a wide variety of topics ranging from corporate to personal finance, insurance to financial economics, and derivatives. It provides a forum for exchange of ideas and techniques among academicians and practitioners and thereby, advances applied research in financial management. The journal, with its mission to promote thinking on various facets of finance, is targeted at academicians, scholars, and professionals associated with the field of finance to promote pragmatic research by disseminating the results of research in finance, accounting, financial economics, and sub - areas such as theory and analysis of fiscal markets and instruments, financial derivatives research, insurance, portfolio selection, credit and market risk, statistical and empirical financial studies based on advanced stochastic methods, financial instruments for risk management, uncertainty, and information in relation to finance.