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Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results

Author

Listed:
  • Salisu, Afees A.
  • Ebuh, Godday U.
  • Usman, Nuruddeen

Abstract

We provide some preliminary estimates about the behaviour of oil-stock nexus during COVID-19 pandemic. Consequently, we conduct distinct analyses for periods before and after the announcement of the pandemic. A panel Vector Autoregressive (pVAR) model is constructed to analyse the response of oil and stocks to shocks. A panel Logit model is also formulated to evaluate the probability of having negative oil price and stock returns between the two data samples. The pVAR analyses suggest that both oil and stock markets may experience greater initial and prolonged impacts of own and cross shocks during the pandemic than the period before it. This outcome is further corroborated by the panel Logit estimates suggesting that the probability of having negative oil and stock returns during the pandemic may be due uncertainty associated with the relevant markets.

Suggested Citation

  • Salisu, Afees A. & Ebuh, Godday U. & Usman, Nuruddeen, 2020. "Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 280-294.
    • Handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:280-294
    DOI: 10.1016/j.iref.2020.06.023
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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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