Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis

By Lu Liu, En-Ze Wang, Chien‐Chiang Lee. 2020

277 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/867832bf066b580ac3b687afb5c3e450335aa0e7

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In Economics and Econometrics

Citations in the corpus

Which Firm-specific Characteristics Affect the Market Reaction of Chinese Listed Companies to the COVID-19 Pandemic? (2020, background): “Moreover, this study contributes to the limited but growing literature on the economic consequences of the COVID-19 pandemic (Apergis and Apergis 2020; Gil-Alana and Monge 2020; Liu, Wang, and Lee 2020).”
COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, background): “…contribution to this literature is that we add to Other recent studies related to COVID-19 and its impact on various economic factors include Chen et al. (2020), He et al. (2020), Iyke (2020b), D. Liu et al. (2020), Phan & Narayan (2020), Salisu & Akanni (2020), and Yue et al. (2020), among others.”
The Impact of the COVID-19 Pandemic on Firm Performance (2020, background): “Country responses and the reaction of the stock market to COVID-19 are previously discussed (Liu, Wang, and Lee 2020; Narayan and Phan 2020).”
COVID-19: Structural Changes in the Relationship Between Investor Sentiment and Crude Oil Futures Price (2020, background): “Most of them explore the direct influence that COVID-19 has had on the oil price (Gil-Alana & Monge, 2020; Liu et al., 2020; Narayan, 2020; Qin et al., 2020).”
Constructing a Global Fear Index for the COVID-19 Pandemic (2020, background): “A number studies have also investigated the connection between the COVID-19 pandemic and the energy sector (see Apergis and Apergis 2020; Fu and Shen 2020; Gil-Alana and Monge 2020; Liu, Wang, and Lee 2020; Narayan 2020;; Qin, Zhang, and Su 2020).”
Did Bubble Activity Intensify During COVID-19? (2020, methodology): “This follows the approach of Narayan et al. (2016). To circumvent the limitations of the ADF test, we also use the sup-ADF test which is rolling window based and its critical values are computed using Monte Carlo simulations; see Phillips et al.”
Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies (2020, background): “…on financial markets focus on returns, volatility and systematic risk (Al-Awadhi et al. 2020; Albulescu 2020; Apergis and Apergis 2020; Fu and Shen 2020; Gil-Alana and Monge 2020; Haroon and Rizvi 2020; Liu, Wang, and Lee 2020; Narayan 2020; Qin, Zhang, and Su 2020; Zhang, Hu, and Ji 2020).”
How Do Firms Respond to COVID-19? First Evidence from Suzhou, China (2020, background): “…outbreak mainly focus on the dynamics of the pandemic and its macroeconomic consequences (Apergis and Apergis 2020; Ali, Alam, and Rivzi 2020; Fu and Shen 2020; Gil-Alana and Monge 2020; Haroon and Rizvi 2020; Liu, Wang, and Lee 2020; Narayan 2020; Qin, Zhang, and Su 2020; Qiu, Chen, and Shi 2020).”
Household Financial Decision Making Amidst the COVID-19 Pandemic (2020, background): “Additionally, Apergis and Apergis (2020), Fu and Shen (2020), Gil-Alana and Monge (2020), Liu, Wang, and Lee (2020), and Narayan (2020) examine the pandemic’s impact on the energy industry to contribute to our understanding of this global phenomenon.”
Accounting Index of COVID-19 Impact on Chinese Industries: A Case Study Using Big Data Portrait Analysis (2020, background): “Wang, Lu, and Zhang et al. (2012) believes that by understanding the microeconomic foundation from the perspective of the accounting index, we can grasp the macroeconomic trends. Existing literature focuses on different regions and industries from the perspective of economic accounting indexes. Erwi”
Implications of COVID-19 Pandemic on the Global Trade Networks (2020, background): “…recent studies on the impact of the COVID-19 pandemic have mostly focussed on financial markets (Ali, Alam, and Rizvi 2020; Apergis and Apergis 2020; Fu and Shen 2020; Gil-Alana and Monge 2020; Haroon and Rizvi 2020; Liu et al., 2020; Narayan 2020; Phan and Narayan 2020; Qin, Zhang., and Su 2020).”