Phoong, Seuk Wai and Mahi, Masnun Al and Phoong, Seuk Yen (2023) A Markov switching approach in assessing oil price and stock market nexus in the last decade: The impact of the COVID-19 pandemic. SAGE Open, 13 (1). ISSN 2158-2440, DOI https://doi.org/10.1177/21582440231153855.
Full text not available from this repository.Abstract
We revisit the oil price and stock market nexus by considering the impact of major economic shocks in the post-global financial crisis (GFC) scenario. Our breakpoint unit root test and Markov switching regression (MRS) analyses using West Texas Intermediate (WTI) oil price and Standard & Poor's 500 (S&P 500) market index show that among the major economic events, the recent coronavirus (COVID-19) pandemic is the most significant contributor to market volatilities. Furthermore, our MRS results show that the relationship between oil price and the stock market is regime-dependent; the stock market experiences substantial and positive shocks in a volatile oil price regime. Our results provide valuable insights to investors and policymakers regarding risk management and financial market stability during economic crisis periods, specifically during the COVID-19 pandemic.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | Oil price; Stock price; Breakpoint unit root test; Markov switching model; COVID-19 |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Business and Economics Faculty of Business and Economics > Department of Decision Science |
| Depositing User: | Ms Zaharah Ramly |
| Date Deposited: | 04 Nov 2024 07:28 |
| Last Modified: | 04 Nov 2024 07:28 |
| URI: | http://eprints.um.edu.my/id/eprint/39086 |
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