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Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results

Afees Salisu, Godday Ebuh and Nuruddeen Usman

International Review of Economics & Finance, 2020, vol. 69, issue C, 280-294

Abstract: We provide some preliminary estimates about the behaviour of oil-stock nexus during COVID-19 pandemic. Consequently, we conduct distinct analyses for periods before and after the announcement of the pandemic. A panel Vector Autoregressive (pVAR) model is constructed to analyse the response of oil and stocks to shocks. A panel Logit model is also formulated to evaluate the probability of having negative oil price and stock returns between the two data samples. The pVAR analyses suggest that both oil and stock markets may experience greater initial and prolonged impacts of own and cross shocks during the pandemic than the period before it. This outcome is further corroborated by the panel Logit estimates suggesting that the probability of having negative oil and stock returns during the pandemic may be due uncertainty associated with the relevant markets.

Keywords: COVID-19; Shock analyses; Oil prices; Stock prices; Panel data analysis (search for similar items in EconPapers)
JEL-codes: C23 G15 I12 Q41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (100)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:69:y:2020:i:c:p:280-294

DOI: 10.1016/j.iref.2020.06.023

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