A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic.
Sage Open
; 13(1): 21582440231153855, 2023.
Article
in English
| MEDLINE | ID: covidwho-2276427
ABSTRACT
We revisit the oil price and stock market nexus by considering the impact of major economic shocks in the post-global financial crisis (GFC) scenario. Our breakpoint unit root test and Markov switching regression (MRS) analyses using West Texas Intermediate (WTI) oil price and Standard & Poor's 500 (S&P 500) market index show that among the major economic events, the recent coronavirus (COVID-19) pandemic is the most significant contributor to market volatilities. Furthermore, our MRS results show that the relationship between oil price and the stock market is regime-dependent; the stock market experiences substantial and positive shocks in a volatile oil price regime. Our results provide valuable insights to investors and policymakers regarding risk management and financial market stability during economic crisis periods, specifically during the COVID-19 pandemic.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Prognostic study
/
Qualitative research
Language:
English
Journal:
Sage Open
Year:
2023
Document Type:
Article
Affiliation country:
21582440231153855
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