The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement

被引：11

作者：

Razmi, Seyedeh Fatemeh ^{[1
]}

Razmi, Seyed Mohammad Javad ^{[1
]}

机构：

[1] Ferdowsi Univ Mashhad FUM, Fac Econ & Adm Sci, Mashhad, Iran

来源：

RESOURCES POLICY | 2023年 / 81卷

关键词：

Oil price; NARDL; COVID-19; Stock price; Financial markets; FOREIGN DIRECT-INVESTMENT; ECONOMIC-GROWTH; FINANCIAL DEVELOPMENT; ENERGY-CONSUMPTION; NATURAL DISASTERS; BOOTSTRAP ARDL; NEXUS; SPILLOVERS; SHOCKS; INDIA;

D O I：

10.1016/j.resourpol.2023.103386

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This research investigates the asymmetric effects of the three major stock prices of the US, Europe, and China on WTI and Brent oil futures prices before and after the COVID-19 announcement by covering weekly data from January 2015 to April 2021. The results of the nonlinear autoregressive distributed lag (NARDL) model show that the US stock price has a significant positive effect in both models prior to the COVID-19 announcement but loses its effect on the WTI oil futures price after the COVID-19 announcement. Its impact on the Brent oil futures price remains after the COVID-19 announcement. The Europe stock price has a significant positive effect in all states. China stock price is not significant in the pre-COVID-19 period, but it has a significant effect after the COVID-19 announcement in both models. However, the only positive asymmetric changes in China stock price show a significant effect on the Brent oil futures price. Before COVID-19, the US stock price is the strongest, while the Europe stock price is the strongest after the COVID-19 announcement.

引用

页数：7

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