A Markov switching approach in assessing oil price and stock market nexus in the last decade: The impact of the COVID-19 pandemic
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�...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
2023
|
| Subjects: | |
| Online Access: | http://eprints.um.edu.my/39086/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Malaya |
| Summary: | 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. |
|---|