Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period.

This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period.

The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach.

This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles.