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Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis

Claudiu Albulescu (), Michel Mina () and Cornel Oros
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Michel Mina: University of Poitiers

Economics Bulletin, 2021, vol. 41, issue 2, 588-593

Abstract: We provide a new investigation of the relationship between oil and stock prices in the context of the outbreak of the new coronavirus crisis. Specifically, we assess to what extent the uncertainty induced by COVID-19 affects the interaction between oil and the United States (US) stock markets. To this end, we use a wavelet approach and daily data from February 18, 2020 to August 15, 2020. We identify the lead-lag relationship between oil and stock prices, and the intensity of this relationship at different frequency cycles and moments in time. Our unique findings show that co-movements between oil and stock prices manifest at 3-5-day cycle and are stronger in the first part of March and the second part of April 2020, when oil prices are leading stock prices. The partial wavelet coherence analysis, controlling for the effect of COVID-19 and US economic policy-induced uncertainty, reveals that the coronavirus crisis amplifies the shock propagation between oil and stock prices.

Keywords: oil prices; stock prices; new coronavirus; COVID-19; economic policy uncertainty; wavelets; time-frequency domain; partial wavelet analysis (search for similar items in EconPapers)
JEL-codes: Q4 (search for similar items in EconPapers)
Date: 2021-04-09
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Working Paper: Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis (2021) Downloads
Working Paper: Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis (2021) Downloads
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