Energy Contagion in the COVID-19 Crisis
11 Pages Posted: 10 Jun 2020
Date Written: 2020
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
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