{"id":"https://openalex.org/W3094710593","doi":null,"title":"Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries","display_name":"Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3094710593","mag":"3094710593"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:ebl:ecbull:eb-20-00867","doi":null,"is_oa":false,"landing_page_url":"http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I3-P210.pdf","pdf_url":"http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I3-P210.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109500989","display_name":"K.P. Prabheesh","orcid":"https://orcid.org/0000-0001-6323-8217","observed_orcids":["https://orcid.org/0000-0001-6323-8217"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"K.P. Prabheesh","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5086524009","display_name":"Bhavesh Garg","orcid":"https://orcid.org/0000-0003-2573-6084","observed_orcids":["https://orcid.org/0000-0003-2573-6084"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Bhavesh Garg","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0003-2573-6084","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.0341,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.95898626,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"40","issue":"3","first_page":"2408","last_page":"2418"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0010000000474974513,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.0007999999797903001,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.9390000104904175},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.9390000104904175},{"id":"https://openalex.org/keywords/time-varying-dependence","display_name":"time-varying dependence","score":0.9490000009536743},{"id":"https://openalex.org/keywords/covid-19","display_name":"COVID-19 pandemic","score":0.9459999799728394},{"id":"https://openalex.org/keywords/oil-price-war","display_name":"oil price war","score":0.9390000104904175},{"id":"https://openalex.org/keywords/stock-market-crash","display_name":"stock market crash","score":0.8870000243186951},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.7879999876022339},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.7829999923706055},{"id":"https://openalex.org/keywords/oil-company-earnings","display_name":"oil company earnings","score":0.7160000205039978},{"id":"https://openalex.org/keywords/aggregate-demand","display_name":"aggregate demand","score":0.5130000114440918},{"id":"https://openalex.org/keywords/dynamic-conditional-correlation","display_name":"dynamic conditional correlation","score":0.6990000009536743}],"concepts":[{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.689129114151001},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6649417877197266},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.6121581792831421},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5905100703239441},{"id":"https://openalex.org/C2984556133","wikidata":"https://www.wikidata.org/wiki/Q297279","display_name":"Oil price","level":2,"score":0.546887993812561},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5213976502418518},{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.4990849494934082},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.49069011211395264},{"id":"https://openalex.org/C2777209242","wikidata":"https://www.wikidata.org/wiki/Q1020018","display_name":"Stock market crash","level":4,"score":0.4899841845035553},{"id":"https://openalex.org/C3008058167","wikidata":"https://www.wikidata.org/wiki/Q84263196","display_name":"Coronavirus disease 2019 (COVID-19)","level":4,"score":0.4542430639266968},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.41710779070854187},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41615164279937744},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.25536274909973145},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11132892966270447},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C142724271","wikidata":"https://www.wikidata.org/wiki/Q7208","display_name":"Pathology","level":1,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C524204448","wikidata":"https://www.wikidata.org/wiki/Q788926","display_name":"Infectious disease (medical specialty)","level":3,"score":0.0},{"id":"https://openalex.org/C2779134260","wikidata":"https://www.wikidata.org/wiki/Q12136","display_name":"Disease","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:RePEc:ebl:ecbull:eb-20-00867","doi":null,"is_oa":false,"landing_page_url":"http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I3-P210.pdf","pdf_url":"http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I3-P210.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:3094710593","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/a/ebl/ecbull/eb-20-00867.html","pdf_url":null,"source":{"id":"https://openalex.org/S134953813","display_name":"Economics bulletin","issn_l":"1545-2921","issn":["1545-2921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-20","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Economics bulletin","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3046930072","https://openalex.org/W4391691432","https://openalex.org/W4401888666","https://openalex.org/W2083902262","https://openalex.org/W3200382092","https://openalex.org/W3035594388","https://openalex.org/W4225320152","https://openalex.org/W4396729871","https://openalex.org/W4224942202","https://openalex.org/W6997319536"],"abstract_inverted_index":{"This":[0],"article":[1],"provides":[2],"an":[3],"empirical":[4],"investigation":[5],"of":[6,81,115],"the":[7,17,32,36,47,50,69,74,79,127,138,145],"time-varying":[8,60],"dependence":[9,51,61],"between":[10,62],"oil":[11,63,82,95,110],"prices":[12,96],"and":[13,65,85,120],"stock":[14,66,87,102],"markets":[15],"in":[16,49,101,117,123],"top":[18],"ten":[19],"net":[20],"oil-exporting":[21,124],"countries.":[22,125],"Using":[23],"daily":[24],"data":[25],"focusing":[26],"on":[27,134],"COVID-19":[28,71],"period,":[29],"we":[30,40],"implement":[31],"DCC-GARCH":[33],"to":[34,45,98,105],"identify":[35],"dynamic":[37],"dependence.":[38],"Then,":[39],"apply":[41],"structural":[42],"break":[43],"techniques":[44],"detect":[46],"shift":[48],"structure.":[52],"We":[53],"find":[54],"that":[55,93],"there":[56],"exists":[57],"a":[58,99,113],"positive":[59,129],"returns":[64,67,103,147],"during":[68],"ongoing":[70],"pandemic":[72],"wherein":[73],"breakpoints":[75],"mostly":[76],"coincided":[77],"with":[78],"emergence":[80],"price":[83],"war":[84],"global":[86],"market":[88],"crash.":[89],"Overall,":[90],"results":[91],"imply":[92],"declining":[94],"lead":[97],"fall":[100],"due":[104],"lower":[106],"future":[107],"earnings":[108],"for":[109],"companies,":[111],"exhibiting":[112],"signal":[114],"reduction":[116],"aggregate":[118],"demand":[119],"economic":[121],"activity":[122],"Thus,":[126],"high":[128],"co-movement":[130],"may":[131],"have":[132],"ill-effects":[133],"portfolio":[135],"diversification,":[136],"as":[137],"latter":[139],"will":[140],"be":[141],"less":[142],"effective":[143],"if":[144],"asset":[146],"are":[148],"highly":[149],"correlated.":[150]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2020-11-09T00:00:00"}