Hourly Oil Price Volatility: The Role of COVID-19

By Neluka Devpura, Paresh Kumar Narayan. 2020

299 citations recorded by the source corpus.

In this paper, we study the evolution of hourly oil price volatility. Using multiple measures of oil price volatility, we conclude that volatility increased following the onset of COVID-19. After controlling for conventional predictors of oil price volatility, we show that COVID-19 cases and deaths led to an increase in daily oil price volatility by between 8% and 22%. Our results pass a battery of robustness tests.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/53b21ff51dcdfe9bfc584e8ea9dde901624406a5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Uncertainty Due to Infectious Diseases and Energy Market Volatility (2020, background): “The COVID-19 pandemic has introduced a different dimension to the functioning of energy markets (see Devpura & Narayan, 2020; Huang & Zheng, 2020; Narayan, 2020).”
Did Bubble Activity Intensify During COVID-19? (2020, background): “…that there is scarce literature on the exchange rate—COVID-19 nexus despite a large and growing literature on COVID-19 (see Al-Awadhi et al., 2020; Devpura & Narayan, 2020; Ertuğrul et al., 2020; Fu & Shen, 2020; Gil-Alana & Monge, 2020; Gu et al., 2020; Haroon & Rizvi, 2020a, 2020b; Huang &…”
Economic Policy Uncertainty in Times of COVID-19 Pandemic (2020, unknown): “…corporate outcomes, such as liquidity and cashholdings (Fu & Shen, 2020); stock markets (Haroon & Rizvi, 2020; Salisu & Sikiru, 2020); oil markets (Devpura & Narayan, 2020; Iyke, 2020a; Narayan, 2020a; Prabheesh et al., 2020); foreign exchange markets (Iyke, 2020b; Narayan, 2020b); global trade…”