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COVID−19 and oil price risk exposure

Author

Listed:
  • Md Akhtaruzzaman

    (ACU - Australian Catholic University)

  • Sabri Boubaker

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie, VNU - Vietnam National University [Hanoï])

  • Mardy Chiah
  • Angel Zhong

Abstract

This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID–19 pandemic. The empirical results show that oil supply industries benefit from positive shocks to oil price risk in general, whereas oil user industries and financial industries react negatively to positive oil price shocks. The COVID–19 outbreak appears to moderate the oil price risk exposure of both financial and non-financial industries. This brings important implications in risk management of energy risk during the pandemic.

Suggested Citation

  • Md Akhtaruzzaman & Sabri Boubaker & Mardy Chiah & Angel Zhong, 2021. "COVID−19 and oil price risk exposure," Post-Print hal-04455591, HAL.
    • Handle: RePEc:hal:journl:hal-04455591
    DOI: 10.1016/j.frl.2020.101882
    Note: View the original document on HAL open archive server: https://normandie-univ.hal.science/hal-04455591
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    7. Andre Assis de Salles, 2021. "COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-21, Julio - S.
    8. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
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    More about this item

    Keywords

    COVID–19; Oil price risk; Financial industries; Non-financial industries; Fama-French 5-factor; Risk management;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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