Does COVID-19 pandemic event alter the dependence structure breaks between crude oil and stock markets in Europe and America. (November 2022)

• Record Type: Journal Article
• Authors: Chang, Kai; Li, Sheng Ze
• Is Part Of: Energy reports. Volume 8(2022)
• Page Start: 15106
• Page End: 15123
• Publication Date: 2022-11
• Subjects: COVID-19 pandemic -- Oil-stock dependence -- R-vine copula model -- Dependence structure break -- Kendall correlation; Power resources -- Periodicals; Energy industries -- Periodicals; Power resources; Periodicals; Electronic journals; 621.04205
• DOI: 10.1016/j.egyr.2022.10.450
• Languages: English
• ISSNs: 2352-4847

Abstract

Abstract: This article attempts to investigate the influence of novel coronavirus (COVID-19) pandemic on the dependence structure break between crude oil and stock markets in Europe and America using ARMA-GARCH and R-vine copula methods. The empirical results demonstrate that international crude oil and European (American) stock markets have significant asymmetric and symmetric dependence structure, rapid outbreak of COVID-19 pandemic triggers their dependence structure break. The results of Kendall correlation confirms that COVID-19 pandemic amplifies the dependence risks between European Brent crude oil and France (German and Spain) stock markets and reduces the dependence risk between Brent crude oil and UK (Italy) stock markets after February 20, 2020. The COVID-19 pandemic may amplify the dependence risk between West Texas Intermediate (WTI) crude oil and Canada stock markets after March 23, 2020, it first quickly reduces the dependence risks between WTI crude oil and US (Brazil and Mexico) stock markets after March 23, 2020 and then enlarges their dependence risks after June 30, 2020. European and American crude oil and stock markets have induced different ranges of their dependence risks in different time scales and their dependence structure breaks have good robustness. Highlights: This article investigates the dependence risk triggered by COVID-19. International oil and stock markets has time-varying and asymmetric dependence. COVID-19 pandemic triggers the oil-stock dependence structure break. European and American oil and stock markets exhibit different dependence ranges.