Crude Oil Prices and COVID-19: Persistence of the Shock

By L. Gil‐Alana, M. Monge. 2020

259 citations recorded by the source corpus.

The effect of the COVID-19 crisis on crude oil prices is investigated by using long memory techniques. The oil price series is highly persistent with an order of integration of 0.84, displaying mean reversion. When we examine data before the onset of COVID-19, the first order integration hypothesis cannot be rejected. The results are consistent with evidence of market efficiency prior to the crisis, with the oil market becoming inefficient when incorporating the data covering the crisis. The evidence that oil price series is mean reverting implies that the shock will be transitory albeit with very long-lasting effects.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/9db5fae764890a30a5bafa7d929f28f456220401

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In Economics and Econometrics

Citations in the corpus

COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, background): “The existing studies on COVID-19 research focus on oil markets and their impact on various economic factors (E. Apergis & Apergis, 2020; Fu & Shen, 2020; Gil-Alana & Monge, 2020; Iyke, 2020a; L. Liu et al., 2020; Narayan, 2020; Qin et al., 2020)1.”
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).”
Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition (2020, background): “Some recent papers are Narayan (2020), Gil-Alana and Monge (2020), Liu, Wang, and Lee (2020), Zhang, Hu, and Ji (2020), Haroon and Rizvi (2020), Ali, Alam and Rizvi (2020), Al-Awadhi et al. (2020), Fu and Shen (2020), Qin, Zhang, and Su (2020), and Apergis and Apergis (2020).”
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).”
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.”
Does the Indian Financial Market Nosedive because of the COVID-19 Outbreak, in Comparison to after Demonetisation and the GST? (2020, background): “…markets (Al-Awadhi et al. 2020; Ali, Alam, and Rizvi 2020; Apergis and Apergis 2020; Barro, Ursúa, and Weng 2020; Donadelli, Kizys, and Riedel 2017; Gil-Alana and Monge 2020; Gormsen and Koijen 2020; Granger, Huang, and Yang 2000; Haroon and Rizvi 2020; Ichev and Baker Marinc 2018; Lagoarde-Segot…”
COVID-19 and Corporate Performance in the Energy Industry (2020, background): “Extant studies have investigated the connection between COVID-19 and oil price (Gil-Alana & Monge, 2020; Narayan, 2020) and the impact of COVID-19 on US Partisan conflict index (Apergis & Apergis, 2020).”
Oil price volatility in the context of Covid-19 (2021, result): “This result is also in line with the conclusion of Gil-Alana and Monge (2020). The short reaction delay can be explained by the fact that changes are required to adjust production between the different oil country producers.”
COVID-19 Pandemic and Firm-level Cash Holding—Moderating Effect of Goodwill and Goodwill Impairment (2020, background): “The performance of companies across various industries fluctuated sharply, following the COVID-19 outbreak—most companies suffered declining performance (Fu and Shen 2020), falling stock prices (Narayan and Phan 2020), and other serious problems (Gil-Alana and Monge 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).”