Hyppää sisältöön
    • Suomeksi
    • In English
  • Suomeksi
  • In English
  • Kirjaudu
Näytä aineisto 
  •   Etusivu
  • 3. UTUCris-artikkelit
  • Rinnakkaistallenteet
  • Näytä aineisto
  •   Etusivu
  • 3. UTUCris-artikkelit
  • Rinnakkaistallenteet
  • Näytä aineisto
JavaScript is disabled for your browser. Some features of this site may not work without it.

The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters

Syed Riaz Mahmood Ali; Mishkatur Rahman; Kaysul Islam Anik; Sang Hoon Kang; Walid Mensi

The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters

Syed Riaz Mahmood Ali
Mishkatur Rahman
Kaysul Islam Anik
Sang Hoon Kang
Walid Mensi

Tätä artikkelia/julkaisua ei ole tallennettu UTUPubiin. Julkaisun tiedoissa voi kuitenkin olla linkki toisaalle tallennettuun artikkeliin / julkaisuun.

Economic Society of Australia and New Zealand, Queensland Branch
doi:10.1016/j.eap.2021.11.009
URI
https://www.sciencedirect.com/science/article/pii/S0313592621001594
Näytä kaikki kuvailutiedot
Julkaisun pysyvä osoite on:
https://urn.fi/URN:NBN:fi-fe2022021619469
Tiivistelmä

This study examines the multiscale spillovers and nonlinear causalities between the crude oil futures market and the stock markets of the United States (US), Canada, China, Russia, and Venezuela before and during the COVID-19 pandemic. Using the wavelet coherency method, we find strong co-movement between the oil futures market and these five stock markets, particularly from March 2020 to May 2020 (initial period of the COVID-19 outbreak) at high frequency. Furthermore, we find positive co-movements at low frequency during the overall COVID-19 period. This finding suggests that the bearish trend of stock markets is associated with a downward movement in oil prices. Using the wavelet-based Granger causality approach, we find that the oil and stock indices have less co-movement on a smaller scale but greater movement on a larger scale across all periods. As an exception, the Russian market is significantly influenced by oil prices, even on a small scale, before the COVID-19 period, but not after the beginning of the pandemic. We also find effects in the opposite direction—the Canadian and U.S. markets influence oil prices on a small scale during the COVID-19 period, an effect that is not visible for the U.S. market in the pre-COVID-19 sample. The results also show a significant bidirectional causality from oil to stock markets and vice versa during Russian-Saudi oil price war at high scale. Furthermore, we find that investors should hold more oil futures than stock shares in their portfolios for all periods. This evidence confirms that oil instruments are important for hedging during normal periods and act as safe-haven assets during crisis periods. We observe that the U.S. and Canadian stock markets were more affected by oil price shocks than were other countries.

Kokoelmat
  • Rinnakkaistallenteet [19207]

Turun yliopiston kirjasto | Turun yliopisto
julkaisut@utu.fi | Tietosuoja | Saavutettavuusseloste
 

 

Tämä kokoelma

JulkaisuajatTekijätNimekkeetAsiasanatTiedekuntaLaitosOppiaineYhteisöt ja kokoelmat

Omat tiedot

Kirjaudu sisäänRekisteröidy

Turun yliopiston kirjasto | Turun yliopisto
julkaisut@utu.fi | Tietosuoja | Saavutettavuusseloste