Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak.
Resour Policy
; 81: 103317, 2023 Mar.
Article
in English
| MEDLINE | ID: covidwho-2229637
ABSTRACT
This article explores the impact of fuel price movements on the stock market return of 2020 during the COVID-19 disruptions. In doing so, a monthly data of seven selected stock market indices representing developed and emerging economies globally was used for analysis. The study used a time-varying parameter VAR model to examine a time-varying causal association between oil prices and stock market returns and a novel quantile-causality approach to capture the fluctuations of these markets under COVID-19's varying market conditions. The study further utilises the entropy transfer approach to capture the Granger-causal relationship in the presence of nonlinearities of the data series. The results indicate a high information flow from fuel prices to the FTSE-100, Pacific, and European stock indicies, but not the other way round. The results show that, for the FTSE-100 and the European region, there is a two-way information flow between equities and natural gas, and vice-versa. However, a one-way information flow was established from the stock market to the Pacific and emerging economies.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Resour Policy
Year:
2023
Document Type:
Article
Affiliation country:
J.resourpol.2023.103317
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