Energy Contagion in the COVID-19 Crisis

11 Pages Posted: 10 Jun 2020

See all articles by Reinhold Heinlein

Reinhold Heinlein

Keele University - Keele Management School

Gabriella Deborah Legrenzi

Keele University - Keele Business School

Scott M. R. Mahadeo

Portsmouth Business School

Date Written: 2020

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.

JEL Classification: C580, G010, G150

Suggested Citation

Heinlein, Reinhold and Legrenzi, Gabriella Deborah and R. Mahadeo, Scott M., Energy Contagion in the COVID-19 Crisis ( 2020). CESifo Working Paper No. 8345, Available at SSRN: https://ssrn.com/abstract=3623680 or http://dx.doi.org/10.2139/ssrn.3623680

Reinhold Heinlein (Contact Author)

Keele University - Keele Management School ( email )

Darwin Building
Staffordshire, ST5 5BG
United Kingdom

Gabriella Deborah Legrenzi

Keele University - Keele Business School ( email )

Keele, ST5 5AA
United Kingdom

Scott M. R. Mahadeo

Portsmouth Business School ( email )

Portsmouth, PO1 3DE
United Kingdom

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