Are energy markets informationally smarter than equity markets? Evidence from the COVID-19 experience

Abstract

Scholars seek to understand the role of agents in physical commodity trading as vehicles of information. COVID-19 provides an opportunity to examine whether energy markets are better informed than equity markets. We evidence that Chinese equity markets were much slower than international energy markets to react to the economic gravity of the COVID-19 situation, with significantly increased co-movements among global energy markets occurring months prior to analogous co-movements in equity markets. Scholars and practitioners interested in the comparative price informativeness of energy versus equity markets will find our results of great interest