Skip to main content

Research Repository

Advanced Search

Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers

Heinlein, Reinhold; Legrenzi, Gabriella D; Mahadeo, Scott M.R.

Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers Thumbnail


Authors

Reinhold Heinlein

Scott M.R. Mahadeo



Abstract

Financial assets tend to immediately react to the developments of a global crisis. We investigate how the relationship between crude oil and stock market returns for a heterogeneous selection of oil exporters and importers has been affected in the onset of the COVID-19 pandemic. Using a contagion test based on local Gaussian correlation with high frequency intraday data, we provide evidence of significantly higher correlations between oil and stock markets returns during the COVID-19 outbreak for all countries in our sample. The results also show that stock markets of commodity exporters in different groups of countries have stronger correlations with oil returns than their importing counterparts. Our results are robust to different crisis dating and consistent across different segments of the assets return distributions. These findings indicate a more limited role of oil in portfolio diversification during the global health crisis, which has implications for the hedging strategies of investors in the stock markets of oil exporting and importing countries alike.

Journal Article Type Article
Acceptance Date Sep 9, 2021
Online Publication Date Sep 22, 2021
Publication Date Nov 1, 2021
Publicly Available Date Mar 29, 2024
Journal The Quarterly Review of Economics and Finance
Print ISSN 1062-9769
Publisher Elsevier
Pages 223 - 229
DOI https://doi.org/10.1016/j.qref.2021.09.007
Publisher URL https://www.sciencedirect.com/science/article/pii/S1062976921001538?via%3Dihub#!

Files




You might also like



Downloadable Citations