PropertyValue
?:abstract
  • This article provides an empirical investigation of the time-varying dependence between oil prices and stock markets in the top ten net oil-exporting countries Using daily data focusing on COVID-19 period, we implement the DCC-GARCH to identify the dynamic dependence Then, we apply structural break techniques to detect the shift in the dependence structure We find that there exists a positive time-varying dependence between oil returns and stock returns during the ongoing COVID-19 pandemic wherein the breakpoints mostly coincided with the emergence of oil price war and global stock market crash Overall, results imply that declining oil prices lead to a fall in stock returns due to lower future earnings for oil companies, exhibiting a signal of reduction in aggregate demand and economic activity in oil-exporting countries Thus, the high positive co-movement may have ill-effects on portfolio diversification, as the latter will be less effective if the asset returns are highly correlated
is ?:annotates of
?:creator
?:journal
  • Economics_Bulletin
?:license
  • unk
?:publication_isRelatedTo_Disease
?:source
  • WHO
?:title
  • Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries
?:type
?:who_covidence_id
  • #903497
?:year
  • 2020

Metadata

Anon_0  
<http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/net/provenance/ns#DataItem>
<http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://www.w3.org/2004/03/trix/rdfg-1/Graph>
<http://xmlns.com/foaf/0.1/primaryTopic> <https://research.tib.eu/covid-19/entity/4maoo2e9>
<http://xmlns.com/foaf/0.1/topic> Anon_0
<http://www.ontologydesignpatterns.org/cp/owl/informationrealization.owl#realizes> <https://research.tib.eu/covid-19/data/entity/4maoo2e9>
<http://purl.org/net/provenance/ns#createdBy>
Anon_1   (more)
expand all