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Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China
This work aims to study the time-frequency relationship between the recent COVID-19 pandemic and instabilities in oil price and the stock market, geopolitical risks, and uncertainty in the economic policy in the USA, Europe, and China. The coherence wavelet method and the wavelet-based Granger causa...
Autores principales: | , , , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7901867/ https://www.ncbi.nlm.nih.gov/pubmed/33624244 http://dx.doi.org/10.1007/s11356-021-12938-2 |
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author | Chien, FengSheng Sadiq, Muhammad Kamran, Hafiz Waqas Nawaz, Muhammad Atif Hussain, Muhammed Sajjad Raza, Muhammad |
author_facet | Chien, FengSheng Sadiq, Muhammad Kamran, Hafiz Waqas Nawaz, Muhammad Atif Hussain, Muhammed Sajjad Raza, Muhammad |
author_sort | Chien, FengSheng |
collection | PubMed |
description | This work aims to study the time-frequency relationship between the recent COVID-19 pandemic and instabilities in oil price and the stock market, geopolitical risks, and uncertainty in the economic policy in the USA, Europe, and China. The coherence wavelet method and the wavelet-based Granger causality tests are applied to the data (31st December 2019 to 1st August 2020) based on daily COVID-19 observations, oil prices, US-EPU, the US geopolitical risk index, and the US stock price index. The short- and long-term COVID-19 consequences are depicted differently and may initially be viewed as an economic crisis. The results illustrate the reduced industrial productivity, which intensifies with the increase in the pandemic’s severeness (i.e., a 10.57% decrease in the productivity index with a 1% increase in the pandemic severeness). Similarly, indices for oil demand, stock market, GDP growth, and electricity demand decrease significantly with an increase in the pandemic severeness index (i.e., a 1% increase in the pandemic severeness results in a 0.9%, 0.67%, 1.12%, and 0.65% decrease, respectively). However, the oil market shows low co-movement with the stock exchange, exchange rate, and gold markets. Therefore, investors and the government are recommended to invest in the oil market to generate revenue during the sanctions period. |
format | Online Article Text |
id | pubmed-7901867 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Springer Berlin Heidelberg |
record_format | MEDLINE/PubMed |
spelling | pubmed-79018672021-02-24 Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China Chien, FengSheng Sadiq, Muhammad Kamran, Hafiz Waqas Nawaz, Muhammad Atif Hussain, Muhammed Sajjad Raza, Muhammad Environ Sci Pollut Res Int Research Article This work aims to study the time-frequency relationship between the recent COVID-19 pandemic and instabilities in oil price and the stock market, geopolitical risks, and uncertainty in the economic policy in the USA, Europe, and China. The coherence wavelet method and the wavelet-based Granger causality tests are applied to the data (31st December 2019 to 1st August 2020) based on daily COVID-19 observations, oil prices, US-EPU, the US geopolitical risk index, and the US stock price index. The short- and long-term COVID-19 consequences are depicted differently and may initially be viewed as an economic crisis. The results illustrate the reduced industrial productivity, which intensifies with the increase in the pandemic’s severeness (i.e., a 10.57% decrease in the productivity index with a 1% increase in the pandemic severeness). Similarly, indices for oil demand, stock market, GDP growth, and electricity demand decrease significantly with an increase in the pandemic severeness index (i.e., a 1% increase in the pandemic severeness results in a 0.9%, 0.67%, 1.12%, and 0.65% decrease, respectively). However, the oil market shows low co-movement with the stock exchange, exchange rate, and gold markets. Therefore, investors and the government are recommended to invest in the oil market to generate revenue during the sanctions period. Springer Berlin Heidelberg 2021-02-23 2021 /pmc/articles/PMC7901867/ /pubmed/33624244 http://dx.doi.org/10.1007/s11356-021-12938-2 Text en © The Author(s), under exclusive licence to Springer-Verlag GmbH, DE part of Springer Nature 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. |
spellingShingle | Research Article Chien, FengSheng Sadiq, Muhammad Kamran, Hafiz Waqas Nawaz, Muhammad Atif Hussain, Muhammed Sajjad Raza, Muhammad Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title | Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title_full | Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title_fullStr | Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title_full_unstemmed | Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title_short | Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China |
title_sort | co-movement of energy prices and stock market return: environmental wavelet nexus of covid-19 pandemic from the usa, europe, and china |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7901867/ https://www.ncbi.nlm.nih.gov/pubmed/33624244 http://dx.doi.org/10.1007/s11356-021-12938-2 |
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