Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns

Version 1 : Received: 29 May 2020 / Approved: 31 May 2020 / Online: 31 May 2020 (20:15:29 CEST)

How to cite: Adenomon, M.O.; Emenogu, N.G. Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns. Preprints 2020, 2020050501 (doi: 10.20944/preprints202005.0501.v1). Adenomon, M.O.; Emenogu, N.G. Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns. Preprints 2020, 2020050501 (doi: 10.20944/preprints202005.0501.v1).

Abstract

This study investigates the impact of global financial crisis and the present COVID-19 pandemic on daily and weekly Crude oil futures using four variants of ARMA-GARCH models: ARMA-sGARCH, ARMA-eGARCH, ARMA-TGARCH and ARMA- aPARCH with dummy variables We also investigated the persistence, half-life and backtesting of the models. This study therefore seeks to contribute to the body of literature on the impact of global financial crisis and the present COVID-19 pandemic on crude oil futures market. This investigation of the impact of global financial crisis and the COVID-19 on crude oil futures has not been much studied at present. We obtained and analyzed the daily and weekly crude oil futures from secondary sources. Daily crude oil futures used in this study covers the period from the 4th January 2000 to 27th April 2020 while the weekly crude oil futures covered from 2ndJanuary 2000 to 26th April 2020 . The global financial crisis period covered from 2nd July 2007 to 31st March 2009 and the current COVID-19 pandemic covered from 1st January 2020 to 27th April, 2020. The study used both student t and skewed student t innovations with AIC, goodness-of-test fit and backtesting to select the best model. Most of the estimated ARMA-GARCH models are supported by skewed student t distribution while most of the ARMA-GARCH models exhibited high persistence values in the presence of global financial crisis and the COVID-19 pandemic. In the overall, the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)-eGARCH(2,2) model for daily crude oil futures and weekly crude oil futures respectively have been significantly impacted by the global financial crisis and the Present COVID-19 pandemic while the preferred estimated models also passed the goodness-of-test fit and backtesting.This study recommends shareholders and investors should think outside the box as crude oil futures tend to be affected by global financial crisis and COVID-19 pandemic while countries also that depend mostly on crude oil are encouraged to diversify their economy in other to survive and be sustained during financial and health crisis.

Subject Areas

Crude oil; Global financial crisis; COVID-19; Stock; Returns; Persistence

Comments (1)

Comment 1
Received: 1 June 2020
Commenter: Charles sabastine Gimba
The commenter has declared there is no conflict of interests.
Comment: This article is timely as alot of oil producing countries are facing financial crisis because of the damage coused by the pandemic
+ Respond to this comment

We encourage comments and feedback from a broad range of readers. See criteria for comments and our diversity statement.

Leave a public comment
Send a private comment to the author(s)
Views 0
Downloads 0
Comments 1
Metrics 0


×
Alerts
Notify me about updates to this article or when a peer-reviewed version is published.
We use cookies on our website to ensure you get the best experience.
Read more about our cookies here.