Reassessing the dynamics between exchange, oil, stock markets and uncertainty during COVID-19 in emerging market economies

Kumar, Sanjiv and Prabheesh, K P (2023) Reassessing the dynamics between exchange, oil, stock markets and uncertainty during COVID-19 in emerging market economies. MethodsX, 10. ISSN 2215-0161

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Abstract

This study reassesses the dynamic relationship between stock, oil, foreign exchange markets, and COVID-19-induced uncertainty. For estimation, we utilize the monthly data from January 2020 to December 2021 and utilize panel vector autoregression econometric techniques in emerging market economies. The empirical findings reveal that heightened uncertainty during the pandemic had a negative impact on stock and oil, and foreign exchange markets. Findings further suggest that uncertainty during the pandemic slanted the relationship between oil and stock and foreign exchange markets due to the precautionary approach followed by economic agents. • COVID-19 uncertainty negatively impacted the oil, stock, and foreign exchange markets. • Uncertainty had a non-linear impact on stock and oil prices. • During the initial period of COVID-19, uncertainty distorted the relationship between oil, stock and exchange markets.

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IITH Creators:

IITH Creators	ORCiD
Prabheesh, K P	https://orcid.org/0000-0001-6323-8217

Item Type:

Article

Uncontrolled Keywords:

Article; capital; coronavirus disease 2019; economic aspect; economic development; foreign exchange; oil price; prediction error; price; stock market; COVID-19; Exchange rate; Stock prices and oil prices; Uncertainty

Subjects:

Arts > Liberal arts

Divisions:

Department of Liberal Arts

Depositing User:

Mr Nigam Prasad Bisoyi

Date Deposited:

16 Aug 2023 11:25

Last Modified:

16 Aug 2023 11:25

URI:

http://raiithold.iith.ac.in/id/eprint/11556