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Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period

Author

Listed:
  • Ioannis Katsampoxakis

    (Department of Statistics and Actuarial—Financial Mathematics, University of the Aegean, 83200 Samos, Greece)

  • Apostolos Christopoulos

    (Department of Business Administration, University of the Aegean, 82100 Chios, Greece
    School of Business, Hellenic Open University, 26335 Patra, Greece)

  • Petros Kalantonis

    (School of Business, Hellenic Open University, 26335 Patra, Greece
    Department of Tourism Management, University of West Attica, 12244 Athens, Greece)

  • Vasileios Nastas

    (School of Applied Mathematical and Physical Sciences, National Technical University of Athens, 15780 Athens, Greece)

Abstract

This paper investigates the interrelations between stock returns and crude oil prices for European oil-importing/exporting countries. A vector autoregression (VAR) model is applied to estimate the significance of stock market responses to changes in oil prices during the pandemic period 2019–2021. A Granger causality test is applied to find the direction and the intensity of the relation between crude oil and the indices of the European stock markets. The findings of this paper hold with or without the COVID-19 pandemic episode and reveal the interaction between the European stock markets and the crude oil prices. The results indicate that in steady periods, before the COVID-19 outbreak and after the announcement of vaccinations, there is no interdependence between crude oil and stock prices, whereas in high volatility periods, the causality from stock markets to oil prices increases and both oil-exporting and -importing countries are equally influenced. These findings have implications both for investors and fund managers.

Suggested Citation

  • Ioannis Katsampoxakis & Apostolos Christopoulos & Petros Kalantonis & Vasileios Nastas, 2022. "Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period," Energies, MDPI, vol. 15(11), pages 1-14, June.
    • Handle: RePEc:gam:jeners:v:15:y:2022:i:11:p:4090-:d:830279
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    References listed on IDEAS

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    Cited by:

    1. Andreas Errikos Delegkos & Michalis Skordoulis & Petros Kalantonis & Aggelia Xanthopoulou, 2022. "Integrated Reporting and Value Relevance in the Energy Sector: The Case of European Listed Firms," Energies, MDPI, vol. 15(22), pages 1-13, November.
    2. Charalampos Basdekis & Apostolos Christopoulos & Ioannis Katsampoxakis & Vasileios Nastas, 2022. "The Impact of the Ukrainian War on Stock and Energy Markets: A Wavelet Coherence Analysis," Energies, MDPI, vol. 15(21), pages 1-15, November.
    3. Elias Carayannis & Pantelis Kostis & Hasan Dinçer & Serhat Yüksel, 2022. "Balanced-Scorecard-Based Evaluation of Knowledge-Oriented Competencies of Distributed Energy Investments," Energies, MDPI, vol. 15(21), pages 1-23, November.

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