Appraising the oil-stock nexus during the COVID-19 pandemic shock: a panel threshold analysis.
Environ Sci Pollut Res Int
; 29(8): 11418-11431, 2022 Feb.
Article
em En
| MEDLINE
| ID: mdl-34537937
ABSTRACT
We examine the oil-stock nexus in 24 countries amidst the COVID-19 pandemic and test for threshold effects on oil prices using Hansen (1999) panel dynamic threshold model and recent extensions of Kremer et al. (2013) and Seo and Shin (2016). We find evidence of nonlinearities and threshold effects in oil prices. As an addition to literature, our estimated model shows that stock market prices react in a regime-style manner, when the joint effects of oil prices, exchange rate changes, number of reported cases, and the number of death due to COVID-19 pandemic are analyzed. This is in support of the theoretical model of investor sentiment by Barberis et al. (1998). Therefore, we are of the opinion that policymakers, governments, and investors in their business decision-making process should put into consideration and also observe changes in the global reported cases alongside the number of deaths and how oil prices are evolving, as the global economy is further affected by the COVID-19 pandemic shock.
Palavras-chave
Texto completo:
1
Tema:
Epidemiologia
/
Geral
Bases de dados:
MEDLINE
Assunto principal:
Petróleo
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Comércio
/
Pandemias
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COVID-19
Tipo de estudo:
Prognostic_studies
Idioma:
En
Revista:
Environ Sci Pollut Res Int
Ano de publicação:
2022
Tipo de documento:
Article