COVID-19 and oil price risk exposure

被引：104

作者：

Akhtaruzzaman, Md ^{[1
]}

Boubaker, Sabri ^{[2
,3
]}

Chiah, Mardy ^{[4
]}

Zhong, Angel ^{[5
]}

机构：

[1] Australian Catholic Univ, Sydney, NSW, Australia

[2] EM Normandie Business Sch, Metis Lab, Le Havre, France

[3] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam

[4] Swinburne Univ Technol, Swinburne Business Sch, Melbourne, Vic, Australia

[5] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic, Australia

来源：

FINANCE RESEARCH LETTERS | 2021年 / 42卷

关键词：

COVID-19; Oil price risk; Financial industries; Non-financial industries; Fama-French; 5-factor; Risk management; STOCK-MARKET; MACROECONOMY; INTEGRATION; SPILLOVERS; INFLATION; BEHAVIOR; ENERGY; SHOCKS;

D O I：

10.1016/j.frl.2020.101882

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 supply industries benefit from positive shocks to oil price risk in general, whereas oil user industries and financial industries react negatively to positive oil price shocks. The COVID-19 outbreak appears to moderate the oil price risk exposure of both financial and non-financial industries. This brings important implications in risk management of energy risk during the pandemic.

引用

页数：7

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