The Effects of COVID-19 Pandemic on Oil Prices, CO2 Emissions and the Stock Market: Evidence from a VAR Model

Mzoughi, Héla; Urom, Christian; Uddin, Gazi Salah; Guesmi, Khaled

doi:10.2139/ssrn.3587906

Cited by 44 publications

(33 citation statements)

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“…Therefore, it can be inferred that the assumption of the market efficiency hypothesis is questionable since the forecast of the market movement can be improved if considering the lagged movements of the other markets, allowing the occurrence of arbitrage operations. These results are validated by the authors Liu, Manzoor, Wang, Zhang and Manzoor (2020), Şenol and Zeren (2020), Mzoughi et al (2020) that show that the global pandemic (Covid-19) has an impact on the memory properties of financial markets. Table 5 presents the results for , between stock exchange indices for opening and closing prices.…”

Section: Imoex_opensupporting

confidence: 55%

Evidence of Intraday Multifractality in Bric Stock Markets: An Econophysics Approach

Dias¹,

Heliodoro²,

Alexandre³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

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The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.

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Section: Imoex_opensupporting

confidence: 55%

Evidence of Intraday Multifractality in Bric Stock Markets: An Econophysics Approach

Dias¹,

Heliodoro²,

Alexandre³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

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show abstract

“…In addition, the study of [10] employed theDCC-GARCH model and found that oil price volatility imperatively affects the stock markets. Furthermore, [53] used the Vector Autoregressive model and confirmed that the COVID-19 pandemic caused oil prices to decrease. Hence, our analysis confirmed that COVID-19 is a bigger crisis than the global financial crisis of 2007-2009, and it has critically disturbed the world's financial and commodity markets.…”

Section: Discussionmentioning

confidence: 92%

Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock

et al. 2021

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COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The results indicate that COVID-19 and the accompanying lockdown have adversely impacted both yields and that the impact on oil prices is more significant than on the Dow Jones index. The variance and squared residuals of oil prices and the Dow Jones reached their highest historical levels during the COVID-19 outbreak, even higher than during the global financial crisis, and especially the VaR of both markets reached their historical peak points during the COVID-19 era. The variance of WTI during COVID-19 is higher than that of DJI, as was also the case during the financial crisis. These findings confirm that COVID-19 has negatively impacted investors’ ability to determine optimal portfolios and thus the sustainability of financial and energy markets more than the global financial crisis of 2007–2009. We, therefore, suggest that policy changes are needed to maintain financial sustainability and help investors deal with future financial and other crises.

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“…indicates exactly that oil prices are constantly decreasing according to the equation (y = −0.2182x + 9621.3), until they reached their minimum level (9.12 dollars per barrel) on April 21 2020 and then increased again until they reached (39.44 dollars per barrel. There is evidence to suggest the negative impact of the Corona pandemic on oil prices in Saudi Arabia and other countries ( 44 ). It is very probable OPEC decision to cut supply until the market regains balance, as prior inquiries centered on OPEC behavior.…”

Section: Oil Prices and Coronavirus Casesmentioning

confidence: 99%

COVID-19 Deaths Cases Impact on Oil Prices: Probable Scenarios on Saudi Arabia Economy

Algamdi

Brika

Musa

et al. 2021

Front. Public Health

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The purpose of this paper is to discuss death cases on the World, exacerbated investor fears, uncertainties, and increased volatility of crude oil prices in financial markets. The reaction absorbed the epidemic gradually until January 22. Still, the market situation changed soon with a sharp drop in prices, and prices slowly recovered after that until June 14. The data of this research using an econometric model, the ARDL (Autoregressive Distributed Lag), according to the Gets methodology, using daily data, January 22 –June 14, 2020. Our ARDL shows, the death ratio has a significant negative effect on oil price dynamics. However, the death ratio has an indirect impact on volatility in Crude Oil prices. The findings show that the death toll of COVID-19 has a significant impact on oil prices in Saudi Arabia (KSA). However, the preliminary results mainly influence by the situation reported in the USA. When we assess the case outside the USA, and we see the positive effect of the COVID-19 death figures on oil prices, therefore, stress the amplification of death-related risks to the financial market and the real economy, caused by increased, policy-induced economic uncertainty in the United States.

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The Effects of COVID-19 Pandemic on Oil Prices, CO2 Emissions and the Stock Market: Evidence from a VAR Model

Cited by 44 publications

References 0 publications

Evidence of Intraday Multifractality in Bric Stock Markets: An Econophysics Approach

Evidence of Intraday Multifractality in Bric Stock Markets: An Econophysics Approach

Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock

COVID-19 Deaths Cases Impact on Oil Prices: Probable Scenarios on Saudi Arabia Economy

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