Energy contagion in the COVID-19 crisis

Reinhold Heinlein (), Gabriella Legrenzi () and Scott Mahadeo
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Reinhold Heinlein: Bristol Business School, University of the West of England, UK

Working Paper series from Rimini Centre for Economic Analysis

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 terms 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: 2020-06
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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http://rcea.org/RePEc/pdf/wp20-19.pdf

Related works:
Working Paper: Energy Contagion in the Covid-19 Crisis (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:20-19

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