COVID–19 and oil price risk exposure

Journal article

Akhtaruzzaman, Md, Boubaker, Sabri, Chiah, Mardy and Zhong, Angel. (2021). COVID–19 and oil price risk exposure. Finance Research Letters. 42, p. Article 101882. https://doi.org/10.1016/j.frl.2020.101882
AuthorsAkhtaruzzaman, Md, Boubaker, Sabri, Chiah, Mardy and 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.

KeywordsCOVID–19; oil price risk; financial industries; non-financial industries; Fama-French 5-factor; risk management
Year2021
JournalFinance Research Letters
Journal citation42, p. Article 101882
PublisherElsevier Ltd
ISSN1544-6123
Digital Object Identifier (DOI)https://doi.org/10.1016/j.frl.2020.101882
Scopus EID2-s2.0-85099512005
Page range1-7
Publisher's version
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online05 Dec 2020
Publication process dates
Accepted03 Dec 2020
Deposited29 Jul 2021
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