Crude oil volatility spillover and stock market returns across the COVID-19 pandemic and post-pandemic periods: An empirical study of China, US, and India

Zhouheng Mao, Hui Wang and Sidra Bibi

Resources Policy, 2024, vol. 88, issue C

Abstract: We utilized two empirical methods to examine how the COVID-19 pandemic, stock market and crude oil marketplace are connected in terms of tax return and volatility consequence. The techniques used in this study include the time-domain approach originally proposed by Diebold and Yilmaz (2012), and the frequency dynamics method developed by Barunik and Krehlik (2018). Our findings revealed that short-term return spillover was more prevalent, while long-term volatility spillover was more common. By conducting a moving window analysis, we have discovered that the COVID-19 pandemic has had a major impact on the global economy, resulting in an unprecedented level of risk. This impact is reflected in the drastic reduction in oil prices and the triggering of the US stock market circuit breaker on four separate occasions, causing significant losses for investors in a short period of time. The COVID-19 pandemic has resulted in greater volatility in the oil and stock markets than was experienced during the 2008 global financial crisis, and its effects continue to be felt. It is difficult to predict the full extent of the pandemic's impact on financial markets, both in the short and long term. Our research provides valuable insights to help investors and policymakers reduce risks and develop effective economic policies during the pandemic.

Keywords: Crude oil volatility; Giant economies; Economic crisis; Covid-19 pandemic; Stock market (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420723010449
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010449

DOI: 10.1016/j.resourpol.2023.104333

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().