| Title | Determining the COVID-19 effects on spillover between oil market and stock exchange: a global perspective analysis |
| Authors | Yan, Ran Cao, Fuguo Gao, Ke |
| Affiliation | Cent Univ Finance & Econ, Sch Publ Finance & Tax, Beijing 100081, Peoples R China Nanyang Inst Technol, Fanli Business Sch, Nanyang 473004, Peoples R China Peking Univ, Sch Econ, Beijing 100871, Peoples R China Shandong Prov Peoples Govt, Dev Res Ctr, Jinan 250011, Peoples R China |
| Keywords | ECONOMIC-GROWTH CRUDE-OIL CONSUMPTION VOLATILITY RISK |
| Issue Date | May-2022 |
| Publisher | ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH |
| Abstract | This paper investigates volatility spillovers between the global crude oil market and the stock markets of the global oil stock markets (Russian, Canada, China, Kuwait, and the USA) pre and after the COVID-19 pandemic. We use wavelet Granger causality methods to study the volatility spillovers between global oil stock markets, mainly from January 1, 2019, to March 31, 2021. Our Results (1) shows that WTI and Brent oil prices had a negative mean return before COVID-19 but a positive mean return during the pandemic spread. Other Results (2) find the positive, significantly lowest, and highest frequency during the COVID-19 outbreak for all selected countries. The results also show that the link between oil WTI & Brent prices and stock markets return in the lowest (33-66 days) and highest frequency range (4-16) before the Covid-19 epidemic, especially in the first quarter of 2020. Before the COVID-19 period, the Russian oil stock market is seriously prejudiced with oil prices on a modest scale, but not after the pandemic's start. This study also perceives direction opposite between the COVID-19 period. The Canadian and United States America oil and stock markets influence the lowest scale in the previous COVID-19 sample for the U.S. market. Moreover, this paper exposed that oil marketing highest oil futures in their portfolios than stock shares for all times. We found that oil price shocks had a more significant impact on the stock markets of the United States and Canada than on the stock markets of other countries. |
| URI | http://hdl.handle.net/20.500.11897/642914 |
| ISSN | 0944-1344 |
| DOI | 10.1007/s11356-022-19607-y |
| Indexed | SCI(E) |
| Appears in Collections: | 经济学院 |
