Fateh Belaïd contributed a book chapter entitled: “The Impact of COVID-19 on the Volatility Transmission Across Equity and Commodity Markets”.
The economic impact of the containment measures adopted in most countries following the health crisis caused by the COVID-19 pandemic is unprecedented. In this context, the main objective of this analysis is to explore the impact of COVID-19 on the transmission of volatility between stock, energy and commodity markets in America, Europe and China, in the short and long term. The empirical results highlight that the COVID-19 pandemic has a strong impact on the linkages between the markets studied. Volatilities, correlations and connectivity are stronger during the COVID-19 pandemic period. However, these results vary between short and long term investment horizons.