 Linkage transitions between oil and the stock markets of countries with the highest COVID-19 casesSaiful Izzuan Hussain, R. Nur-Firyal and Nadiah Ruza Journal of Commodity Markets, 2022, vol. 28, issue C Abstract: This paper employed dynamic copulas and Extreme Value Theory (EVT) to analyze the linkages between oil and the stock market of countries with the highest number of COVID-19 cases. Many papers have reported small but significant negative dependence between oil and the markets before the pandemic. This work enhances the understanding of these links by exploring the tail behavior. There are many extreme returns during these periods. Integration between copula with EVT does help to understand these extreme returns better. The linkages for an overall dependence structure began to decrease dramatically and volatile after the pandemic outbreak. Lower dependence for most pairs seems to be stronger most of the time during COVID-19. The research results have possible effects on portfolio and risk management and provide insights that could be used to assess the long- and short-term effects of the pandemic. Keywords: Dependence structure; COVID-19; Oil market; Copula (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000696 DOI: 10.1016/j.jcomm.2021.100236 Access Statistics for this article Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard More articles in Journal of Commodity Markets from Elsevier |
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