Oil Price–Stock Market Nexus During the COVID-19 Pandemic: Evidence From China

Abstract

This study focuses on the relation between the fluctuation of international oil prices and China’s energy stock market during the COVID-19 pandemic, using a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model. We confirm the spillover effect of volatility between oil price returns and energy stock returns and determine that price leadership has been heavily influenced during the pandemic.