318
Views
5
CrossRef citations to date
0
Altmetric
Research on Pandemics

Oil and BRIC Stock Markets before and after COVID-19: A Local Gaussian Correlation Approach

ORCID Icon, , &

References

  • Alam, M. M., H. Wei, and A. N. M. Wahid. 2020. COVID-19 outbreak and sectoral performance of the Australian stock market: A event study analysis. Australian Economic Papers:e12212. doi:10.1111/1467-8454.12215.
  • Alam, M. N., M. S. Alam, and K. Chavali. 2020. Stock market response during COVID-19 lockdown period in India: An event study. Journal of Asian Finance Economics and Business 7 (7):131–37. doi:10.13106/jafeb.2020.vol7.no7.131.
  • Al-Awadhi, A. M., K. Alsaifi, A. Al-Awadhi, and S. Alhammadi. 2020. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance 27:100326. doi:10.1016/j.jbef.2020.100326.
  • Apergis, E., and N. Apergis. 2020. Can the COVID-19 pandemic and oil prices drive the US Partisan Conflict Index? Energy Research Letters 1 (1):13144. doi:10.46557/001c.13144.
  • Aslam, F., W. Mohti, and P. Ferreira. 2020. Evidence of intraday multifractality in European stock markets during the recent coronavirus (COVID-19) outbreak. International Journal of Finance Studies 8 (2):31. doi:10.3390/ijfs8020031.
  • Bampinas, G., and T. Panagiotidis. 2017. Oil and stock markets before and after financial crises: A local Gaussian correlation approach. The Journal of Futures Markets 37 (12):1179–204. doi:10.1002/fut.21860.
  • Bouri, E., R. Gupta, and S. Wang. 2020. Nonlinear contagion between stock and real estate. markets: International evidence from a local Gaussian correlation approach. International Journal of Finance & Economics. doi:10.1002/ijfe.2261.
  • Devpura, N., and P. K. Narayan. 2020. Hourly oil price volatility: The role of COVID-19. Energy Research Letters 1 (2):13683. doi:10.46557/001c.13683.
  • Gil-Alana, L. A., and M. Monge. 2020. Crude oil prices and COVID-19: Persistence of the. shock. Energy Research Letters 1 (1):13200. doi:10.46557/001c.13200.
  • Hall, P., J. S. Racine, and Q. Li. 2004. Cross-validation and the estimation of conditional probability densities. Journal of the American Statistical Association 99 (468):1015–26. doi:10.1198/016214504000000548.
  • He, P., Y. Sun, Y. Zhang, and T. Li. 2020a. COVID–19’s impact on stock prices across different sectors—An event study based on the Chinese stock market. Emerging Markets Finance and Trade 56 (10):2198–212. doi:10.1080/1540496X.2020.1785865.
  • He, Q., J. Liu, S. Wang, and J. Yu. 2020b. The impact of COVID-19 on stock markets. Economic And. Political Studies-EPS 8 (3):275–88. doi:10.1080/20954816.2020.1757570.
  • Hongsakulvasu, N., and A. Lianmmukda. 2020. The risk-return relationship in crude oil. markets during COVID-19 pandemic: Evidence from time-varying coefficient GARCH-in-mean model. Journal of Asian Finance Economics and Business 7 (10):63–71. doi:10.13106/jafeb.2020.vol7.no10.063.
  • Iyke, B. N. 2020. COVID-19: The reaction of US oil and gas producers to the pandemic. Energy Research Letters 1 (2):13912. doi:10.46557/001c.13912.
  • Khan, K., H. Zhao, H. Zhang, H. Yang, M. H. Shah, and A. Jahanger. 2020. The impact of COVID-19 pandemic on stock market: An empirical analysis of world major stock indices. Journal of Asian Finance Economics and Business 7 (7):463–74. doi:10.13106/jafeb.2020.vol7.no7.463.
  • Khurram, S., X. Liu, A. Muhammad, U. R. Khaliq, and I. Muhammad. 2020. Investigating the. psychology of financial markets during COVID-19 Era: A case study of the US and European markets. Frontiers in Psychology 11:1924. doi:10.3389/fpsyg.2020.01924.
  • Lacal, V., and D. Tjøstheim. 2017. Local Gaussian autocorrelation and tests for serial. independence. Journal of Time Series Analysis 38 (1):51–71. doi:10.1111/jtsa.12195.
  • Lacal, V., and D. Tjøstheim. 2019. Estimating and testing nonlinear local dependence between. two time series. Journal of Business & Economic Statistics 37 (4):648–60. doi:10.1080/07350015.2017.1407777.
  • Liu, H., A. Manzoor, C. Wang, L. Zhang, and Z. Manzoor. 2020. The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health 17 (8):2800. doi:10.3390/ijerph17082800.
  • Liu, L., E. Z. Wang, and C. C. Lee. 2020. Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: A time-varying analysis. Energy Research Letters 1 (1):13154. doi:10.46557/001c.13154.
  • Melike, B., G. B. Nilgun, and U. Yasemen. 2020. Analyzing crude oil prices under the impact. of COVID-19 by using LSTARGARVHLSTM. Energies 13 (11):2980. doi:10.3390/en13112980.
  • Mishra, A. K., B. N. Rath, and A. K. Dash. 2020. Does the Indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST? Emerging Markets Finance and Trade 56 (10):2162–80. doi:10.1080/1540496X.2020.1785425.
  • Narayan, P. K. 2020. Oil price news and COVID-19—Is there any connection? Energy Research Letters 1 (1):13176. doi:10.46557/001c.13176.
  • Nguyen, Q. N., S. Aboura, J. Chevallier, L. Zhang, and B. Zhu. 2020. Local Gaussian correlations in financial and commodity markets. European Journal of Operational Research 285 (1):306–23. doi:10.1016/j.ejor.2020.01.023.
  • Nyga-Lukaszewska, H., and K. Aruga. 2020. Energy prices and COVID-immunity: The case of crude oil and natural gas prices in the US and Japan. Energies 13 (23):6300. doi:10.3390/en13236300.
  • Phan, D. H. B., and P. K. Narayan. 2020. Country responses and reaction of the stock market to COVID-19- A preliminary exposition. Emerging Market Finance and Trade 56 (10):2138–50. doi:10.1080/1540496X.2020.1784719.
  • Prabheesh, K. P., R. Padhan, and B. Garg. 2020. COVID-19 and the oil price–stock market nexus: Evidence from net oil-importing countries. Energy Research Letters 1 (2):13745. doi:10.46557/001c.13745.
  • Rodriguez, J. C. 2007. Measuring financial contagion: A Copula approach. Journal Of. Empirical Finance 14 (3):401–23. doi:10.1016/j.jempfin.2006.07.002.
  • Salisu, A. A., G. U. Ebuh, and N. Usman. 2020. Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics & Finance 69:280–94. doi:10.1016/j.iref.2020.06.023.
  • Sharif, A., C. Aloui, and L. Yarovaya. 2020. COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis 70:101496. doi:10.2139/ssrn.3574699.
  • Støve, B., D. Tjøstheim, and K. O. Hufthammer. 2014. Using local Gaussian correlation in a nonlinear re-examination of financial contagion. Journal of Empirical Finance 25:62–82. doi:10.1016/j.jempfin.2013.11.006.
  • Tjøstheim, D., and K. O. Hufthammer. 2013. Local Gaussian correlation: A new measure of dependence. Journal of Econometrics 172 (1):33–48. doi:10.1016/j.jeconom.2012.08.001.
  • Topcu, M., and O. S. Gulal. 2020. The impact of COVID-19 on emerging stock markets. Finance Research Letters 36:101691. doi:10.1016/j.frl.2020.101691.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.