TY - JOUR
T1 - Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak
AU - Managi, Shunsuke
AU - Yousfi, Mohamed
AU - Ben Zaied, Younes
AU - Ben Mabrouk, Nejah
AU - Ben Lahouel, Béchir
N1 - Publisher Copyright:
© 2021 Economic Society of Australia, Queensland
PY - 2022/3
Y1 - 2022/3
N2 - This paper contributes to Covid-19 outbreak impacts literature. We investigate the connectedness between stock market and oil prices under bullish and bearish economic conditions and uncertainty level at different investment horizons. We applied the wavelet framework on daily dataset cover the pre-COVID-19 and COVID-19 period. We find that the linkage between the economic and financial pairs is characterized by significant changes over the time during the sample period, where the huge co-movements has been identified during the pandemic period at the low scale. We show that due to lockdown policy and oil price shock, the stock return decline, the aggregate business conditions reached its lowest level and the uncertainty increase. The result indicates that the COVID-19 outbreak negatively affects the economy and the financial markets and support the sensitivity, especially between oil-stock, and economic condition and uncertainty.
AB - This paper contributes to Covid-19 outbreak impacts literature. We investigate the connectedness between stock market and oil prices under bullish and bearish economic conditions and uncertainty level at different investment horizons. We applied the wavelet framework on daily dataset cover the pre-COVID-19 and COVID-19 period. We find that the linkage between the economic and financial pairs is characterized by significant changes over the time during the sample period, where the huge co-movements has been identified during the pandemic period at the low scale. We show that due to lockdown policy and oil price shock, the stock return decline, the aggregate business conditions reached its lowest level and the uncertainty increase. The result indicates that the COVID-19 outbreak negatively affects the economy and the financial markets and support the sensitivity, especially between oil-stock, and economic condition and uncertainty.
UR - http://www.scopus.com/inward/record.url?scp=85120716069&partnerID=8YFLogxK
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U2 - 10.1016/j.eap.2021.11.008
DO - 10.1016/j.eap.2021.11.008
M3 - Article
AN - SCOPUS:85120716069
VL - 73
SP - 129
EP - 139
JO - Economic Analysis and Policy
JF - Economic Analysis and Policy
SN - 0313-5926
ER -