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Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach

Author

Listed:
  • Cheima Gharib

    (LIEC - Laboratoire Interdisciplinaire des Environnements Continentaux - INEE-CNRS - Institut Ecologie et Environnement - CNRS Ecologie et Environnement - CNRS - Centre National de la Recherche Scientifique - INSU - CNRS - Institut national des sciences de l'Univers - OTELo - Observatoire Terre et Environnement de Lorraine - INSU - CNRS - Institut national des sciences de l'Univers - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

  • Salma Mefteh-Wali

    (ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers)

  • Vanessa Serret

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Sami Ben Jabeur

    (ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University), UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University))

Abstract

This paper provides an analysis of crude oil, diesel, and gasoline prices for the period from November 1, 2019 to December 31, 2020. We apply Log Periodic Power-Law Singularity (LPPLS) and Discrete Scale LPPLS bubble indicators to explore the dynamic bubbles of oil prices and predict their crash times. The results indicate that West Texas Light crude oil and North Sea Brent crude oil experienced a statistically significant negative financial bubble during the COVID-19 outbreak. In addition, gasoline and diesel prices are mainly driven by fundamentals. Our findings are expected to be useful to oil market investors, policymakers, and energy experts.

Suggested Citation

  • Cheima Gharib & Salma Mefteh-Wali & Vanessa Serret & Sami Ben Jabeur, 2021. "Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach," Post-Print hal-03375164, HAL.
    • Handle: RePEc:hal:journl:hal-03375164
    DOI: 10.1016/j.resourpol.2021.102392
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    Cited by:

    1. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
    2. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2022. "Analyzing the nexus of COVID-19 and natural resources and commodities: Evidence from time-varying causality," Resources Policy, Elsevier, vol. 77(C).
    3. Li, Dongxin & Zhang, Feipeng & Yuan, Di & Cai, Yuan, 2024. "Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 909-939.
    4. Hu, Genhua & Jiang, Haifeng, 2023. "Time-varying jumps in China crude oil futures market impacted by COVID-19 pandemic," Resources Policy, Elsevier, vol. 82(C).
    5. Yan-Hong Yang & Ying-Lin Liu & Ying-Hui Shao, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Jun 2024.
    6. Mishra, Brajesh & Ghosh, Sajal & Kanjilal, Kakali, 2023. "Policies to reduce India's crude oil import dependence amidst clean energy transition," Energy Policy, Elsevier, vol. 183(C).
    7. Wang, Tiantian & Wu, Fei & Dickinson, David & Zhao, Wanli, 2024. "Energy price bubbles and extreme price movements: Evidence from China's coal market," Energy Economics, Elsevier, vol. 129(C).
    8. Esposti, Roberto, 2024. "Dating common commodity price and inflation shocks with alternative approaches," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 13(2), July.
    9. Kaushik Ranjan Bandyopadhyay, 2022. "Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility," Energies, MDPI, vol. 15(8), pages 1-21, April.
    10. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    11. Shah, Muhammad Ibrahim & Foglia, Matteo & Shahzad, Umer & Fareed, Zeeshan, 2022. "Green innovation, resource price and carbon emissions during the COVID-19 times: New findings from wavelet local multiple correlation analysis," Technological Forecasting and Social Change, Elsevier, vol. 184(C).
    12. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    13. Leelee N. Deekor & Amina Muhammad Sani & Onyinyechi Nweke, 2022. "Modelling the impact of crude oil price on Nigerian exchange rate during COVID-19," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 6(12), pages 726-730, December.
    14. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
    15. Karkowska, Renata & Urjasz, Szczepan, 2023. "How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    16. Song, Yuegang & Zhang, Xiaoyu & Hu, Guoheng, 2023. "Relationships among geopolitical risk, trade policy uncertainty, and crude oil import prices: Evidence from China," Resources Policy, Elsevier, vol. 82(C).
    17. Wang, Tiantian & Wu, Fei & Zhang, Dayong & Ji, Qiang, 2023. "Energy market reforms in China and the time-varying connectedness of domestic and international markets," Energy Economics, Elsevier, vol. 117(C).
    18. Huang, Jie & Cao, Yu & Zhong, Pengshu, 2022. "Searching for a safe haven to crude oil: Green bond or precious metals?," Finance Research Letters, Elsevier, vol. 50(C).
    19. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    20. Espinosa-Paredes, G. & Rodriguez, E. & Alvarez-Ramirez, J., 2022. "A singular value decomposition entropy approach to assess the impact of Covid-19 on the informational efficiency of the WTI crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    21. Ming, Lei & Yang, Ping & Tian, Xinyi & Yang, Shenggang & Dong, Minyi, 2023. "Safe haven for crude oil: Gold or currencies?," Finance Research Letters, Elsevier, vol. 54(C).

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