 The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcementSeyedeh Fatemeh Razmi and Seyed Mohammad Javad Razmi Resources Policy, 2023, vol. 81, issue C Abstract: This research investigates the asymmetric effects of the three major stock prices of the US, Europe, and China on WTI and Brent oil futures prices before and after the COVID-19 announcement by covering weekly data from January 2015 to April 2021. The results of the nonlinear autoregressive distributed lag (NARDL) model show that the US stock price has a significant positive effect in both models prior to the COVID-19 announcement but loses its effect on the WTI oil futures price after the COVID-19 announcement. Its impact on the Brent oil futures price remains after the COVID-19 announcement. The Europe stock price has a significant positive effect in all states. China stock price is not significant in the pre-COVID-19 period, but it has a significant effect after the COVID-19 announcement in both models. However, the only positive asymmetric changes in China stock price show a significant effect on the Brent oil futures price. Before COVID-19, the US stock price is the strongest, while the Europe stock price is the strongest after the COVID-19 announcement. Keywords: Oil price; NARDL; COVID-19; Stock price; Financial markets (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:jrpoli:v:81:y:2023:i:c:s0301420723000946 DOI: 10.1016/j.resourpol.2023.103386 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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