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How has the relationship between oil and the US stock market changed after the Covid-19 crisis? #MMPMID33046963
Sakurai Y; Kurosaki T
Financ Res Lett 2020[Nov]; 37 (ä): 101773 PMID33046963show ga
In this paper, we investigate how the relationship between oil and the US stock market has changed after the onset of Covid-19 crisis. To do so, we compute upside and downside correlations between the two markets. Our findings are as follows. First, we document the correlation asymmetry: the downside correlation is higher than the upside correlation. Second, we find that both upside and downside correlations increased after the crisis. This indicates that after the start of the Covid-19 crisis, a positive (negative) oil shock is even better (worse) news for the stock market than an equivalent shock before the crisis.