Abstract:
Like no other calamitous event in recent memory, the COVID-19
pandemic has plunged the world’s financial system into disarray, triggering
systemic risk spillovers across markets. In this study, we use 5-minute index
futures price data to examine the multiscale interdependence structure of global
equity, gold, and oil markets prior to and following the COVID-19 outbreak, in
terms of the first four realized moments of their respective return distributions
(i.e., mean, variance, skewness, and kurtosis). With respect to the equity-gold
nexus, we find that stock (gold) returns and volatility negatively (positively) lead
their gold (stock) counterparts at medium- and long-term scales in the pandemic
period, while asymmetry risk in stock markets positively leads its counterpart in
gold markets at the same scales before and during the early months of the
health crisis. Concerning the oil-equity nexus, our results reveal a positive
(negative) co-movement between asymmetry risks at short- and medium-term
scales in January-April (May-July) 2020, whereas heavy tail risks are positively
