Energy Contagion in the Covid-19 Crisis

Reinhold Heinlein, Gabriella Legrenzi () and Scott Mahadeo

No 8345, CESifo Working Paper Series from CESifo

Abstract: We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the Covid-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our results are robust to different crisis datings and consistent across different segments of the assets return distributions.

Keywords: contagion; intraday data; local correlation; oil; stock markets (search for similar items in EconPapers)
JEL-codes: C58 G01 G15 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ene and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Energy contagion in the COVID-19 crisis (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_8345

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