Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period
研究了COVID-19危机期间G7国家和中国金融市场与黄金、石油市场之间的风险传导和联动，发现石油市场风险最高，黄金是避险资产，亚洲市场对商品价格冲击最敏感。
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC–MGARCH, VaR and CoVaR models. The results indicate that oil markets (WTI and brent) faced the highest risk exposure, underscoring their vulnerability to extreme economic shocks, while gold, despite some sensitivity, generally acted as a safe‐haven asset. CoVaR analysis revealed significant systemic risk transmission, with gold amplifying risk for European indices (FTSE and CAC40) and energy markets showing even stronger spillovers, particularly with the CSI. At the 1% confidence level, Asian markets like CSI and Nikkei demonstrated the highest sensitivity to commodity price shocks, while S&P 500 exhibited the lowest, reflecting the diversification benefits of mature financial markets.