Has COVID-19 changed the stock return-oil price predictability pattern?

Autor:	Fan Zhang, Paresh Kumar Narayan, Neluka Devpura
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	COVID-19 Oil prices Stock returns Public finance K4430-4675 Finance HG1-9999
Zdroj:	Financial Innovation, Vol 7, Iss 1, Pp 1-10 (2021)
Druh dokumentu:	article
ISSN:	2199-4730
DOI:	10.1186/s40854-021-00277-7
Popis:	Abstract In this paper, we examine if COVID-19 has impacted the relationship between oil prices and stock returns predictions using daily Japanese stock market data from 01/04/2020 to 03/17/2021. We make a novel contribution to the literature by testing whether the COVID-19 pandemic has changed this predictability relationship. Employing an empirical model that controls for seasonal effects, return-related control variables, heteroskedasticity, persistency, and endogeneity, we demonstrate that the influence of oil prices on stock returns declined by around 89.5% due to COVID-19. This implies that when COVID-19 reduced economic activity and destabilized financial markets, the influence of oil prices on stock returns declined. This finding could have implications for trading strategies that rely on oil prices.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/f96789561a574f4ea7d8d85847afb7b6 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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