AIMS Energy, 2020, 8(5): 819-834. doi: 10.3934/energy.2020.5.819

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Dynamic spillover effects between oil prices and stock markets: New evidence from pre and during COVID-19 outbreak

Faculty of Economics and Law, University of Finance-Marketing, Ho Chi Minh City, Vietnam

In this study, we employ both the spillover index of Diebold and Yilmaz [1], and the wavelet coherence approaches to investigate the impacts of return spillovers and dynamic timefrequency linkages between crude oil prices and five developed stock markets in Europe (the United Kingdom, Spain, Italy, German, and France) in the pre and during Covid-19 outbreak periods. The results highlight that IBEX and CAC series are net recipients of risks, while the other assets are a net transmitter of shocks in the pre-Covid-19 period. In contrast to the results for the pre-Covid-19 period, LSE, CAC, and IBEX are the net recipients of return spillovers, reaching a maximum level of about 23% during the Covid-19 outbreak. Specifically, in comparison with the pre-Covid-19 period, the return transmission is more apparent during the Covid-19 crisis. More importantly, there exist significant dependent patterns about the information spillovers, and time-frequency linkages between crude oil and five major stock markets might provide urgent prominent implications for portfolio managers, investors, and government agencies.
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