Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes
Abstract
:1. Introduction
2. Literature Review
2.1. The Impact of COVID-19 on Global Financial Markets
2.2. COVID-19 Pandemic Risk and the Oil Market
3. Materials and Methods
3.1. Measures of Pandemic Risk
3.2. Granger Causality Analysis
4. Results
5. Discussion
6. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
References
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Min | Q1 | Median | Q3 | Max | Mean | SD | Kurtosis | Skewness | |
---|---|---|---|---|---|---|---|---|---|
Crude oil WTI (NYM $/bbl) | −37.63 | 40.66 | 54.47 | 69.12 | 84.65 | 54.24 | 17.67 | 3.36 | −0.46 |
PRS | 0 | 0.10 | 0.14 | 0.17 | 0.36 | 0.13 | 0.05 | 3.73 | −0.25 |
SRS | 0 | 0.06 | 0.15 | 0.32 | 1.53 | 0.20 | 0.19 | 7.13 | 1.46 |
Window Width, w | Min | Q1 | Median | Mean | Q3 | Max | prop(−) | prop(+) |
---|---|---|---|---|---|---|---|---|
42 | −74.19 | −4.37 | 6.54 | 11.92 | 21.74 | 297.10 | 35% | 65% |
49 | −79.81 | −3.11 | 12.43 | 15.74 | 21.56 | 292.31 | 36% | 64% |
56 | −75.78 | −2.33 | 13.90 | 20.07 | 25.06 | 305.09 | 31% | 69% |
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So, M.K.P.; Chan, J.N.L.; Chu, A.M.Y. Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes. J. Risk Financial Manag. 2022, 15, 240. https://doi.org/10.3390/jrfm15060240
So MKP, Chan JNL, Chu AMY. Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes. Journal of Risk and Financial Management. 2022; 15(6):240. https://doi.org/10.3390/jrfm15060240
Chicago/Turabian StyleSo, Mike K. P., Jacky N. L. Chan, and Amanda M. Y. Chu. 2022. "Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes" Journal of Risk and Financial Management 15, no. 6: 240. https://doi.org/10.3390/jrfm15060240