Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/219163 
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8345
Publisher: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Abstract: 
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our results are robust to different crisis datings and consistent across different segments of the assets return distributions.
Subjects: 
contagion
intraday data
local correlation
oil
stock markets
JEL: 
C58
G01
G15
Document Type: 
Working Paper
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