ABSTRACT
The energy sector has been the main economic hub in everyone's lives and in world geopolitics. Consequently, oil, gas, electricity and energy from renewable sources (wind and solar) are traded on the stock market, and all interconnected around the world. On the other hand, a global health crisis, such as COVID-19, can produce a great economic catastrophe. In this scenario, a robust statistical analysis will be performed here with respect to the concept of interdependence and contagion effect. For this project, we chose to study the relationship between the main source of energy (crude oil, WTI and Brent) and two (Gold and Silver) precious metals (which are a safe haven for investment). Therefore, with the novelty of the application of (Formula presented.) and (Formula presented.) coefficients before and during the COVID-19 crisis (announced by the World Health Organization), the interdependence and the contagion effect were calculated. We verified that COVID-19 had no influence on contagion effect between crude oil in its indexes, WTI and Brent, since they have already shown to be highly interdependent, both before and after the World Health Organization COVID-19 decree. Likewise, COVID-19 had a significant influence on the crude oil and precious metal sectors, which was evident as we identified an increase in its interdependence, with a clearly positive contagion. These results show that COVID-19 imposed a restructuring in the relationship between energy (crude oil) and precious metals. More details will be presented throughout this article. © 2023 by the authors.
ABSTRACT
Given the importance of the financial markets in the global context, data analysis and new statistical approach are always welcome, especially if we are referring to G-20 group (the world's richest countries). As we know, the pandemic outbreak of COVID-19 has affected the global economy, and its impact seems to be inevitable (as it was in 2020). From the perspective of what was raised above, this paper aims to analyze the stock market efficiency in 21 indexes of G-20. We are going to do our analysis with intraday scale (of hour), from May 2019 to May 2020. In order to be successful in this analysis, we applied the DFA and the DCCA methods, to identify or not two points:i)Are G-20 stock market efficient in their weak form?ii)With open/close values, it is possible to identify some type of memory in G-20 group? The answer to these points will be given throughout this paper. For this purpose, the entire analysis will be divided into two different time-scale: Period I, time-scale less than five days and Period II, with time-scale greater than ten days. In the pandemic times of COVID-19, our results show that taking into account the DFA method, for time-scale shorter than 5 days, the stock markets tend to be efficient, whereas for time-scale longer than 10 days, the stock market tend to be inefficient. But, with DCCA method for cross-correlation analysis, the results for open/close indexes show different types of behaviors for each stock market index separately.