Phoong Seuk Wai, Mahi Masnun Al, Phoong Seuk Yen
Universiti Malaya, Kuala Lumpur, Malaysia.
BRAC University, Bangladesh.
Sage Open. 2023 Feb 20;13(1):21582440231153855. doi: 10.1177/21582440231153855. eCollection 2023 Jan-Mar.
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.
我们通过考虑全球金融危机（GFC）后情景下重大经济冲击的影响，重新审视油价与股票市场的关系。我们使用西德克萨斯中质原油（WTI）价格和标准普尔500指数（S&P 500）市场指数进行的断点单位根检验和马尔可夫切换回归（MRS）分析表明，在主要经济事件中，近期的冠状病毒（COVID-19）大流行是市场波动的最重要因素。此外，我们的MRS结果表明，油价与股票市场之间的关系取决于市场状态；在油价波动的状态下，股票市场会经历重大的正向冲击。我们的结果为投资者和政策制定者在经济危机期间，特别是在COVID-19大流行期间的风险管理和金融市场稳定提供了有价值的见解。
