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Energy Contagion in the Covid-19 Crisis

Author

Listed:
  • Reinhold Heinlein
  • Gabriella Deborah Legrenzi
  • Scott M. R. Mahadeo

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 term 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.

Suggested Citation

  • Reinhold Heinlein & Gabriella Deborah Legrenzi & Scott M. R. Mahadeo, 2020. "Energy Contagion in the Covid-19 Crisis," CESifo Working Paper Series 8345, CESifo.
    • Handle: RePEc:ces:ceswps:_8345
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    References listed on IDEAS

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    Cited by:

    1. Reinhold Heinlein & Scott M. R. Mahadeo, 2023. "Oil and US stock market shocks: Implications for Canadian equities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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