The impact of oil prices on oil-gas stock returns: A fresh evidence from the covid-affected countries

Abstract

The effects of oil price exposure of oil-gas sectors of the countries largely affected by Covid-19 is analyzed with a time-varying parameter model. Estimation results suggest that market risk of all countries’ oil-gas sector excluding China has increased remarkably compared to the period before the spread of the virus. Positive and significant effects of the oil price factor become negative and significant for most countries during the pandemic. The results further indicate that the oil-gas sector of China is not affected by the outbreak of Covid-19, even though the virus has first appeared in that country.