Has COVID-19 changed the stock return-oil price predictability pattern?
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...
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Online Access: | https://doi.org/10.1186/s40854-021-00277-7 |
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doaj-f96789561a574f4ea7d8d85847afb7b62021-08-22T11:29:10ZengSpringerOpenFinancial Innovation2199-47302021-08-017111010.1186/s40854-021-00277-7Has COVID-19 changed the stock return-oil price predictability pattern?Fan Zhang0Paresh Kumar Narayan1Neluka Devpura2School of Public Finance and Taxation, Zhejiang University of Finance and EconomicsMonash Business School, Monash UniversityDepartment of Statistics, Faculty of Applied Sciences, University of Sri JayewardenepuraAbstract 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.https://doi.org/10.1186/s40854-021-00277-7COVID-19Oil pricesStock returns |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Fan Zhang Paresh Kumar Narayan Neluka Devpura |
spellingShingle |
Fan Zhang Paresh Kumar Narayan Neluka Devpura Has COVID-19 changed the stock return-oil price predictability pattern? Financial Innovation COVID-19 Oil prices Stock returns |
author_facet |
Fan Zhang Paresh Kumar Narayan Neluka Devpura |
author_sort |
Fan Zhang |
title |
Has COVID-19 changed the stock return-oil price predictability pattern? |
title_short |
Has COVID-19 changed the stock return-oil price predictability pattern? |
title_full |
Has COVID-19 changed the stock return-oil price predictability pattern? |
title_fullStr |
Has COVID-19 changed the stock return-oil price predictability pattern? |
title_full_unstemmed |
Has COVID-19 changed the stock return-oil price predictability pattern? |
title_sort |
has covid-19 changed the stock return-oil price predictability pattern? |
publisher |
SpringerOpen |
series |
Financial Innovation |
issn |
2199-4730 |
publishDate |
2021-08-01 |
description |
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. |
topic |
COVID-19 Oil prices Stock returns |
url |
https://doi.org/10.1186/s40854-021-00277-7 |
work_keys_str_mv |
AT fanzhang hascovid19changedthestockreturnoilpricepredictabilitypattern AT pareshkumarnarayan hascovid19changedthestockreturnoilpricepredictabilitypattern AT nelukadevpura hascovid19changedthestockreturnoilpricepredictabilitypattern |
_version_ |
1721199710718394368 |