The unprecedented reaction of equity and commodity markets to COVID-19

•The relationship between commodity and stock prices in the major oil-producing and consuming countries is examined.•A relatively high level of interdependence among markets is indicated by the total return spillover index.Chinese and Saudi Arabian stock markets seem to be poorly integrated into the world market.•The cross-wavelet coherence reveals a positive correlation between spillovers and COVID-19. Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the markets considered, Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillovers are time-varying and reached their highest levels during the COVID-19 medical shock.