Co-movement of energy prices and stock market return: environmental wavelet nexus of COVID-19 pandemic from the USA, Europe, and China

被引:0
作者
FengSheng Chien
Muhammad Sadiq
Hafiz Waqas Kamran
Muhammad Atif Nawaz
Muhammed Sajjad Hussain
Muhammad Raza
机构
[1] Fuzhou University of International Studies and Trade,School of Finance and Accounting
[2] City University of Macau,Faculty of Business
[3] Taylor’s University,School of Accounting and Finance, Faculty of Business and Law
[4] Iqra University,Department of Business Administration
[5] The Islamia University of Bahawalpur,Department of Economics
[6] The Superior College,undefined
[7] Emaan Institute of Management and Science,undefined
来源
Environmental Science and Pollution Research | 2021年 / 28卷
关键词
Wavelet coherence; COVID-19; Stock market; Oil prices; Global pandemic;
D O I
暂无
中图分类号
学科分类号
摘要
This work aims to study the time-frequency relationship between the recent COVID-19 pandemic and instabilities in oil price and the stock market, geopolitical risks, and uncertainty in the economic policy in the USA, Europe, and China. The coherence wavelet method and the wavelet-based Granger causality tests are applied to the data (31st December 2019 to 1st August 2020) based on daily COVID-19 observations, oil prices, US-EPU, the US geopolitical risk index, and the US stock price index. The short- and long-term COVID-19 consequences are depicted differently and may initially be viewed as an economic crisis. The results illustrate the reduced industrial productivity, which intensifies with the increase in the pandemic’s severeness (i.e., a 10.57% decrease in the productivity index with a 1% increase in the pandemic severeness). Similarly, indices for oil demand, stock market, GDP growth, and electricity demand decrease significantly with an increase in the pandemic severeness index (i.e., a 1% increase in the pandemic severeness results in a 0.9%, 0.67%, 1.12%, and 0.65% decrease, respectively). However, the oil market shows low co-movement with the stock exchange, exchange rate, and gold markets. Therefore, investors and the government are recommended to invest in the oil market to generate revenue during the sanctions period.
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页码:32359 / 32373
页数:14
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