The Relationship Between Oil Price Fluctuations, Power Sector Returns, and COVID-19: Evidence from Pakistan

• 발행기관: 한국유통과학회
• 저자명: Sajjad AHMED Khalil Ullah MOHAMMAD
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.3, 33~42쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.03.30

영문 초록

Oil prices have become more volatile as a result of global economic contraction and control measures. Before and during the COVID-19 crisis, this study examines the relationship between oil price swings and daily stock returns in the power sector. The impact is investigated using a panel Vector Autoregressive (VAR) model. Granger causality tests are used to see if oil prices are effective in predicting returns. The dynamic impact of supply shocks is studied using Impulse Response Functions (IRFs). From January 2011 to May 2021, the study used daily data from all listed power sector enterprises on the Pakistan stock exchange. To investigate the differences in reactions between the Pre-COVID and COVID eras, the sample was separated into two groups. Oil shocks are inversely associated with daily firm stock returns. The conclusions are further supported by the lack of impact of stock prices on oil prices. The relationship, however, deteriorates during the COVID pandemic. We could not uncover any evidence of a significant relationship. In developing countries that rely on oil imports, the study sheds light on the utility of oil price shocks in daily stock return predictions.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results

5. Conclusion

References

키워드

Daily Stock Returns Oil Prices Power Sector COVID-19 Panel VAR