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: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers

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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: COVID-19; economic policy uncertainty; wavelets; time-frequency domain; partial wavelet analysis JEL codes: Q41; oil prices; stock prices; new coronavirus (search for similar items in EconPapers)
Date: 2021-04-09
New Economics Papers: this item is included in nep-ene
Note: View the original document on HAL open archive server: https://hal.science/hal-03194648
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Citations: View citations in EconPapers (5)

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Journal Article: Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis (2021)
Working Paper: Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis (2021)
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