China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

ABSTRACT: The price jump behavior may bring tremendous challenges on risk management and asset pricing. This paper uses the BN-S test, the wavelet coherence method, and applies high-frequency data to explore whether and to what extent the COVID-19 pandemic impacts China's energy stock market jumps and its characteristics. The empirical results uncover the significant and heterogeneous interactions between the COVID-19 pandemic and China's energy stock market jumps across market specifications, investment horizons, and China/global pandemic tolls at different time scales. First, the oil stock market jumps were the most correlated with the pandemic, especially during the peak and re-deterioration phases. The pandemic played a positive and leading role in the short term (1-4 days length period) and lon

SUBMITTER: Tong Y 

PROVIDER: S-EPMC9576550 | biostudies-literature | 2022 May

REPOSITORIES: biostudies-literature