COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries

Abstract

This study focuses on the relation between stock price returns and oil price returns covering the COVID-19 period. This relation is examined for major net oil-importing Asian countries. Utilizing daily data, we fit a DCC-GARCH model. We find evidence of a positive co-movement between oil price returns and stock price returns during the COVID-19 period. This indicates that falling oil prices act as a negative signal for the stock market.