Abstract
The 2020 Global Health Crisis disrupted global financial markets in ways not experienced before, underlining the importance of examining stock market volatility patterns. This paper examines volatility dynamics in gold and oil prices and the S&P 500 Index. The GARCH (1,1) model, well-known in the financial literature, supports the study. The core research findings are summarised as follows: during the pre-COVID-19 period, the S&P 500 exhibited a stable relationship with gold and oil prices. However, there was evidence of shifting dynamics between the S&P 500, gold, and oil volatilities across the studied subsamples: pre-COVID-19, pandemic period, and post-COVID-19. Investors, policymakers, and financial experts should consider the dynamicity of commodities and stock indexes and how they are affected by emerging risks that are only confined to economic and financial aspects as we witness new disruptions that have significant implications for the economic and financial system.
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Recommended Citation
Vichare, Sayali
(2024)
"Oil, Gold and S&P500 Volatility during the COVID-19 Crisis,"
Critical Letters in Economics & Finance:
Vol. 2:
Iss.
1, Article 2.
Available at:
https://arrow.tudublin.ie/clef/vol2/iss1/2