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Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CESifo Working Paper No. 8345
Verlag: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
contagion
intraday data
local correlation
oil
stock markets
JEL: 
C58
G01
G15
Dokumentart: 
Working Paper
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