Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US - A Time-Varying Analysis

Lu Liu, En-Ze Wang and Chien-Chiang Lee ()

Energy RESEARCH LETTERS, 2021, vol. 1, issue 1, 1-4

Abstract: This research explores the interaction among the COVID-19 pandemic, crude oil market and stock market in the U.S. by utilizing a time-varying parameter vector auto regression (TVP-VAR) model. Our results indicate that there is a negative connection between crude oil returns and stock returns. Interestingly, contrary to our intuition, we find that the COVID-19 pandemic cannot exert a negative effect but has a statistically significantly positive effect on crude oil returns and stock returns.

Keywords: crude oil returns; stock returns; covid-19; pandemic (search for similar items in EconPapers)
JEL-codes: O (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:29

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