Revisiting oil-stock nexus in the time of health crisis: a wavelet approach

IF 2.7 4区管理学 Q2 BUSINESS International Journal of Emerging Markets Pub Date : 2024-08-20 DOI:10.1108/ijoem-12-2021-1864

Pamphile Mezui-Mbeng, Eugene Kouassi, Afees Salisu, Loukou Landry Eric Yobouet

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Abstract

Purpose

The paper aims at analyzing the co-movements between stock returns and oil prices (West Texas Intermediate, Brent) controlling or not for COVID-19.

Design/methodology/approach

It uses continuous wavelet transforms and wavelet coherence over the period July 19, 2019 to August 16, 2021 based on daily data. Continuous wavelet transforms provide an over complete representation of stock returns signals by letting the translation and scale parameters of the wavelets vary continuously.

Findings

There are not significant evidence supporting the fact that the COVID-19 has altered the relationship between stock returns and oil prices except perhaps in the case of South Africa. In fact, Southern African Development Community stock markets react more to oil prices than to health shock such as the COVID-19.

Originality/value

The findings of the study are original and have not been published anywhere prior.

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在健康危机时期重新审视石油与股票的关系：一种小波方法

目的本文旨在分析股票收益率与油价（西德克萨斯中质油，布伦特油）之间的共同运动，是否控制了 COVID-19。设计/方法/途径本文基于每日数据，使用了 2019 年 7 月 19 日至 2021 年 8 月 16 日期间的连续小波变换和小波相干性。连续小波变换通过让小波的平移和尺度参数连续变化，提供了股票收益信号的过度完整表示。事实上，南部非洲发展共同体股票市场对石油价格的反应大于对 COVID-19 等健康冲击的反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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