Title : ( The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement )
Authors: Seyedeh Fatemeh Razmi , Seyed Mohammad Javad Razmi ,
دانلود فایل برای اعضای دانشگاهAccess to full-text not allowed by authors
Abstract
This research investigates the asymmetric effects of three major stock prices of the US, Europe, and China on WTI and Brent future oil prices before and after the Covid-19 announcement by covering weekly data from January 2015 to April 2021. Using the nonlinear autoregressive distributed lag (NARDL) model, the results indicate the US stock price has a significant positive effect in pre-Covid-19 in both models but it loses its effect on WTI future oil price after the Covid-19 announcement. It keeps its effect on Brent future oil price after the Covid-19 announcement. The European stock price has significant positive effect in all states. The China stock price is not significant in pre-Covid-19 while it has a significant effect after Covid-19 announcement in both models. However, the only positive asymmetric changes of China stock price show a significant effect on Brent\\\'s future oil price. Before Covid-19, US stock price is the strongest stock price while the European stock price is the strongest after the Covid-19 announcement.
Keywords
, Oil price; NARDL; Covid, 19; Stock price
@article{paperid:1093372,
author = {Seyedeh Fatemeh Razmi and Razmi, Seyed Mohammad Javad},
title = {The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement},
journal = {Resources Policy},
year = {2023},
volume = {81},
number = {1},
month = {March},
issn = {0301-4207},
pages = {103386--103392},
numpages = {6},
keywords = {Oil price; NARDL; Covid-19; Stock price},
}
%0 Journal Article
%T The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement
%A Seyedeh Fatemeh Razmi
%A Razmi, Seyed Mohammad Javad
%J Resources Policy
%@ 0301-4207
%D 2023
