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Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany
We analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness: the time-domain approach developed by Diebold and Yilmaz (2012) and the method based on frequency dynamics developed...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7866850/ http://dx.doi.org/10.1016/j.irfa.2021.101702 |
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author | Zhang, Wenting Hamori, Shigeyuki |
author_facet | Zhang, Wenting Hamori, Shigeyuki |
author_sort | Zhang, Wenting |
collection | PubMed |
description | We analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness: the time-domain approach developed by Diebold and Yilmaz (2012) and the method based on frequency dynamics developed by Barunik and Krehlik (2018). We find that the return spillover mainly occurs in the short term; however, the volatility spillover mainly occurs in the long term. From the moving window analysis results, the impact of COVID-19 created an unprecedented level of risk, such as plummeting oil prices and triggering the US stock market circuit breaker four times, which caused investors to suffer heavy losses in a short period. Furthermore, the impact of COVID-19 on the volatility of the oil and stock markets exceeds that caused by the 2008 global financial crisis, and continues to have an effect. The impact of the COVID-19 pandemic on financial markets is uncertain in both the short and long terms. Our research provides some urgent and prominent insights to help investors and policymakers avoid the risks in the crude oil and stock markets because of the COVID-19 pandemic and reestablish economic development policy strategies. |
format | Online Article Text |
id | pubmed-7866850 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-78668502021-02-09 Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany Zhang, Wenting Hamori, Shigeyuki Int Rev Financ Anal Article We analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness: the time-domain approach developed by Diebold and Yilmaz (2012) and the method based on frequency dynamics developed by Barunik and Krehlik (2018). We find that the return spillover mainly occurs in the short term; however, the volatility spillover mainly occurs in the long term. From the moving window analysis results, the impact of COVID-19 created an unprecedented level of risk, such as plummeting oil prices and triggering the US stock market circuit breaker four times, which caused investors to suffer heavy losses in a short period. Furthermore, the impact of COVID-19 on the volatility of the oil and stock markets exceeds that caused by the 2008 global financial crisis, and continues to have an effect. The impact of the COVID-19 pandemic on financial markets is uncertain in both the short and long terms. Our research provides some urgent and prominent insights to help investors and policymakers avoid the risks in the crude oil and stock markets because of the COVID-19 pandemic and reestablish economic development policy strategies. Elsevier Inc. 2021-03 2021-02-06 /pmc/articles/PMC7866850/ http://dx.doi.org/10.1016/j.irfa.2021.101702 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Zhang, Wenting Hamori, Shigeyuki Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title | Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title_full | Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title_fullStr | Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title_full_unstemmed | Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title_short | Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany |
title_sort | crude oil market and stock markets during the covid-19 pandemic: evidence from the us, japan, and germany |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7866850/ http://dx.doi.org/10.1016/j.irfa.2021.101702 |
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