COVID−19 and Oil Price Risk Exposure

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