How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions

In this study, we analyse the impact of world uncertainty, global pandemics, including the recent COVID-19, and geopolitical risk on global food, energy commodities, and stock markets from a global perspective. The study uses quantile on quantile regression (QQR) and a quantile causality test using quarterly data from 1996Q1 to 2020Q1. Overall, the study results indicate heterogeneity in the influence of the world uncertainty index, global pandemic index, and geopolitical risk on the global food, energy, and stock markets. However, our findings predominantly show a negative impact of world uncertainty, and global pandemic on global food, energy commodities, and stock markets with substantial variations across markets (food, energy, and stock) and quantiles within each market. For robustness, this study applied the geopolitical risk and found the similar impact on food, energy and stock markets. Additionally, the quantile causality test confirms unidirectional causality running from world uncertainty, global pandemic uncertainty, and geopolitical risk to world food, energy, and stock markets. Our findings give a clear guideline to policymakers and investors managing food, energy, and equity markets during uncertainty and pandemic periods.