Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period

Ioannis Katsampoxakis, Apostolos Christopoulos, Petros Kalantonis and Vasileios Nastas
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Ioannis Katsampoxakis: Department of Statistics and Actuarial—Financial Mathematics, University of the Aegean, 83200 Samos, Greece
Apostolos Christopoulos: Department of Business Administration, University of the Aegean, 82100 Chios, Greece
Petros Kalantonis: School of Business, Hellenic Open University, 26335 Patra, Greece
Vasileios Nastas: School of Applied Mathematical and Physical Sciences, National Technical University of Athens, 15780 Athens, Greece

Energies, 2022, vol. 15, issue 11, 1-14

Abstract: This paper investigates the interrelations between stock returns and crude oil prices for European oil-importing/exporting countries. A vector autoregression (VAR) model is applied to estimate the significance of stock market responses to changes in oil prices during the pandemic period 2019–2021. A Granger causality test is applied to find the direction and the intensity of the relation between crude oil and the indices of the European stock markets. The findings of this paper hold with or without the COVID-19 pandemic episode and reveal the interaction between the European stock markets and the crude oil prices. The results indicate that in steady periods, before the COVID-19 outbreak and after the announcement of vaccinations, there is no interdependence between crude oil and stock prices, whereas in high volatility periods, the causality from stock markets to oil prices increases and both oil-exporting and -importing countries are equally influenced. These findings have implications both for investors and fund managers.

Keywords: crude oil; stock market; VAR models; COVID-19 (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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