Template-Type: ReDIF-Article 1.0 
Author-Name: Lu Liu  
Author-Name:   En-Ze Wang  
Author-Name:   Chien-Chiang Lee
Author-Email:  contact.apaea@gmail.com
Author-Workplace-Name: Asia Pacific Applied Economics Association
Title: Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US - A Time-Varying Analysis
Abstract:  This research explores the interaction among the COVID-19 pandemic, crude oil market and stock market in the U.S. by utilizing a time-varying parameter vector auto regression (TVP-VAR) model. Our results indicate that there is a negative connection between crude oil returns and stock returns. Interestingly, contrary to our intuition, we find that the COVID-19 pandemic cannot exert a negative effect but has a statistically significantly positive effect on crude oil returns and stock returns.
Classification-JEL:  O
Keywords:  crude oil returns, stock returns, covid-19, pandemic
Journal:  Energy RESEARCH LETTERS
Pages: 1-4
Volume: 1
Issue: 1
Year:  2021
DOI:  2021/06/16
File-URL:  https://erl.scholasticahq.com/api/v1/articles/13154-impact-of-the-covid-19-pandemic-on-the-crude-oil-and-stock-markets-in-the-us-a-time-varying-analysis.pdf
File-Format:  Application/pdf
Handle: RePEc:ayb:jrnerl:29