How has the relationship between oil and the US stock market changed after the Covid-19 crisis?

Yuji Sakurai and Tetsuo Kurosaki

Finance Research Letters, 2020, vol. 37, issue C

Abstract: In this paper, we investigate how the relationship between oil and the US stock market has changed after the onset of Covid-19 crisis. To do so, we compute upside and downside correlations between the two markets. Our findings are as follows. First, we document the correlation asymmetry: the downside correlation is higher than the upside correlation. Second, we find that both upside and downside correlations increased after the crisis. This indicates that after the start of the Covid-19 crisis, a positive (negative) oil shock is even better (worse) news for the stock market than an equivalent shock before the crisis.

Keywords: WTI; Non-normality; Mixture models; Nonparametric test; Dynamic conditional correlation model (search for similar items in EconPapers)
JEL-codes: F31 G01 G15 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315877

DOI: 10.1016/j.frl.2020.101773

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