Strategic Commodities' Price Risk and Financial Contagion in Oil and Gas Exporting Countries
研究了新冠和俄乌危机期间战略商品及美国股市对主要油气出口国股市的传染效应，发现市场对风险因素敏感且传染程度约75.8%，对政策制定者有警示作用。
This study investigates the occurrence of stock market contagion effects stemming from strategic commodities and the United States (U.S.) equity markets to major oil and gas exporting nations amid the COVID-19 and Russian-Ukraine crises. Employing a multi-factor asset pricing model and risks spillover technique, we scrutinize the sensitivities of market returns to these risk factors and the dynamics of shocks transmission among market sensitivities over time. Our findings reveal that these equity markets generally demonstrate positive and variable sensitivities to the three factors, with Canada, UAE, Kuwait and Saudi Arabia experiencing significant periods of negative response to the gas price factor. Notably, the Russian market exhibited the highest responsiveness to the U.S. factor at the outbreak of the Russian-Ukraine war, whereas the Russian market displays the greatest sensitivity to both oil and gas price risks. The degree of shocks propagation among market sensitivities is about 75.8% and is mainly driver by sensitivities to the U.S. market factor in the energy market, followed by the sensitivity of oil prices to the gas market. Policymakers in these nations should be cautious of potential contagion from the US market and these critical commodities, particularly oil, to mitigate any adverse impacts on their economies.