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COVID−19 and oil price risk exposure

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  • Akhtaruzzaman, Md
  • Boubaker, Sabri
  • Chiah, Mardy
  • Zhong, Angel

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.

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  • Akhtaruzzaman, Md & Boubaker, Sabri & Chiah, Mardy & Zhong, Angel, 2021. "COVID−19 and oil price risk exposure," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316962
    DOI: 10.1016/j.frl.2020.101882
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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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