Oil Price-Stock Market Nexus During the COVID-19 Pandemic - Evidence From China

Zheng Shi and Dongmin Kong ()
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Dongmin Kong: School of Economics, Huazhong University of Science and Technology

Energy RESEARCH LETTERS, 2021, vol. 2, issue 4, 1-4

Abstract: This study focuses on the relation between the fluctuation of international oil prices and China’s energy stock market during the COVID-19 pandemic, using a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model. We confirm the spillover effect of volatility between oil price returns and energy stock returns and determine that price leadership has been heavily influenced during the pandemic.

Keywords: DCC-GARCH; COVID-19; Crude Oil (search for similar items in EconPapers)
JEL-codes: L1 O13 Q02 Q41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (9)

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