COVID−19 and Oil Price Risk Exposure

32 Pages Posted: 20 Jul 2020 Last revised: 5 Dec 2020

See all articles by Md Akhtaruzzaman

Md Akhtaruzzaman

Australian Catholic University

Sabri Boubaker

University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion; Ecole de Management de Normandie

Mardy Chiah

Swinburne University of Technology

Angel Zhong

RMIT University - School of Economics, Finance and Marketing

Date Written: July 13, 2020

Abstract

This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID–19 pandemic. The empirical results show that oil and gas industries exhibit the highest positive exposure to oil price risk, benefiting most when there is an increase in oil price. In contrast, heavy users of oil, such as airlines and defence, suffer most from increases in oil price. The COVID–19 outbreak appears to moderate the oil price risk exposure of both financial and non-financial industries. The oil price risk exposure of financial and non-financial industries remains robust to alternative asset pricing framework.

Keywords: COVID–19; oil price risk; financial industries; non-financial industries; Fama-French 5-factor

JEL Classification: G12; G15; G18; G20; G29

Suggested Citation

Akhtaruzzaman, Md and Boubaker, Sabri and Chiah, Mardy and Zhong, Angel, COVID−19 and Oil Price Risk Exposure (July 13, 2020). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3650151 or http://dx.doi.org/10.2139/ssrn.3650151

Md Akhtaruzzaman (Contact Author)

Australian Catholic University ( email )

Level 20, Tenison Woods House, 8-20 Napier St
North Sidney, NSW 2060
Australia

Sabri Boubaker

University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion ( email )

61 Avenue du General de Gaulle
94010 Creteil
France

HOME PAGE: http://www.irg.u-pec.fr/enseignant.php?num=58

Ecole de Management de Normandie ( email )

9 rue Claude Bloch
Le Havre Cedex, Cedex 4 14052 Caen
France

HOME PAGE: http://https://www.em-normandie.com/en/sabri-boubaker

Mardy Chiah

Swinburne University of Technology ( email )

Cnr Wakefield and William Streets, Hawthorn Victor
3122 Victoria, Victoria 3122
Australia

Angel Zhong

RMIT University - School of Economics, Finance and Marketing ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
132
Abstract Views
1,296
rank
274,797
PlumX Metrics