Oil Price Shocks During the COVID-19 Pandemic: Evidence From United Kingdom Energy Stocks

Erhan Mugaloglu, Ali Yavuz Polat, Hasan Tekin, Abdullah Dogan
We investigate the dynamic relationship between global oil prices, the stock market, and oil and gas stock (FTSE-OG) returns in the UK through a structural vector autoregressive (VAR) framework during the COVID-19 pandemic. The structural VAR results suggest that the impact of structural shocks related to the global oil price on FTSE-OG index returns becomes less important and loses its explanatory power during the pandemic. However, stock market shocks increase their explanatory power in the variations of FTSE-OG index returns.
doi:10.46557/001c.24253 fatcat:bgkuu52yf5cwxa6frhws2ktave