COVID−19 and oil price risk exposure

Md Akhtaruzzaman, Sabri Boubaker, Mardy Chiah and Angel Zhong

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Abstract: This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID–19 pandemic. The empirical results show that oil supply industries benefit from positive shocks to oil price risk in general, whereas oil user industries and financial industries react negatively to positive oil price shocks. The COVID–19 outbreak appears to moderate the oil price risk exposure of both financial and non-financial industries. This brings important implications in risk management of energy risk during the pandemic.

Keywords: COVID–19; Oil price risk; Financial industries; Non-financial industries; Fama-French 5-factor; Risk management (search for similar items in EconPapers)
Date: 2021
Note: View the original document on HAL open archive server: https://normandie-univ.hal.science/hal-04455591v1
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Published in Finance Research Letters, 2021, 42, pp.101882. ⟨10.1016/j.frl.2020.101882⟩

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Journal Article: COVID−19 and oil price risk exposure (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04455591

DOI: 10.1016/j.frl.2020.101882

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