Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis
Year: 2020
Type: article
Abstract: This research explores the interaction among the COVID-19 pandemic, crude oil market and stock market in the U.S. by utilizing a time-varying parameter vector autoregression (TVP-VAR) model. Our results indicate that there is a negative connection between crude oil returns and stock returns. Interestingly, contrary to our intuition, we find that the COVID-19 pandemic cannot exert a negative effect but has a statistically significantly positive effect on crude oil returns and stock returns.
Source: Energy RESEARCH LETTERS
DOI: 10.46557/001c.13154
Authors: Lu Liu, En-Ze Wang, Chien-Chiang Lee
Institutions: Sun Yat-sen University, Qingdao University, Nanchang University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W3036868177