Comparing Return Spillovers Among Energy, Precious Metals, Stock Market and Exchange Market between China and the United States : Evidence from the COVID-19 Pandemic

With the accelerated financialization of energy, the spillovers between energy and financial markets is becoming an important issue. This paper compares the characteristics of spillover effects between China and the US markets using the method of generalized variance decomposition due to Diebold-Yilmaz and conducting network analysis. We find that before the COVID-19, the total spillover effects of Chinese markets are larger than that of the US, while during the COVID-19, the situation is just the opposite, and the spillovers in the two countries during the COVID-19 obviously higher than normal period. Secondly, before the COVID-19, crude oil, fuel oil, gold, and silver are the main net contributors, while gasoline, natural gas, platinum, equities and exchange rate are the main receivers. However, during the COVID-19, crude oil, gold, gasoline and platinum changes to different patterns. Thirdly, during the COVID-19, in the US, the strongest net contributor shifts from gold to fuel oil. The exchange rate of the US still be the strongest net receiver. In China, the strongest net receiver shifts from stock market to the exchange market, while silver always be the strongest net contributor