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Co-movement between COVID-19, oil price and American stock market during 2020: Fresh investigation from partial and multiple wavelet methods

Author

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  • Radulescu, Magdalena
  • Rao, Amar
  • Doğan, Buhari
  • Abbas, Shujaat

Abstract

The pandemic has brought economic and social challenges to society, policymakers, financial market investors and firms. The current study aims to shed light on the financial aspects of COVID-19 during the first wave in 2020. In doing so, the study aims to explore the association between COVID-19 cases, oil prices, and the stock market returns (Standard & Poor's). In this paper, the authors use the daily new cases of COVID-19, oil price and stock market return from 21 January 2020 to 10 April 2020. To check the nexus between studied factors, we apply Wavelet Coherence, Partial Wavelet Coherence and Multiple Wavelet Coherence methods. The graphical empirics of Wavelet Coherence Methods mentioned interesting outcomes; (i) COVID-19 and oil price tend to move in the same direction, with COVID-19 leading, (ii) COVID-19 affect stock market returns, and (iii) oil price and stock market returns have strong co-movement.

Suggested Citation

  • Radulescu, Magdalena & Rao, Amar & Doğan, Buhari & Abbas, Shujaat, 2024. "Co-movement between COVID-19, oil price and American stock market during 2020: Fresh investigation from partial and multiple wavelet methods," Resources Policy, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:jrpoli:v:95:y:2024:i:c:s0301420724005610
    DOI: 10.1016/j.resourpol.2024.105194
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    More about this item

    Keywords

    COVID-19; Oil price; Stock market returns; Wavelet Coherence; Standard & Poor's;
    All these keywords.

    JEL classification:

    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • M10 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - General
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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