New Covid-19 research at Keele Business School

Dr Gabriella Legrenzi, Senior Lecturer in Economics at Keele Business School, is currently researching the link between crude oil prices and stock markets during the COVID-19 pandemic, in a new paper, 'Energy Contagion in the COVID-19 Crisis' written with Reinhold Heinlein (University of West England) and Scott Mahadeo (Portsmouth University) and published in the CESifo Working Paper series.

At the time of the COVID-19 crisis, the oil market has suffered an unprecedented crisis, with the WTI crude oil price dropping into negative territory (-$37.63 per barrel) in April 2020 and stock markets across the world have been deeply affected by the pandemic, with a forecasted impact worse than the great recession.

Using a high frequency dataset (collected at intervals of five minutes), for a selected sample of oil importing and exporting countries across G7, BRICS and Scandinavian economies, they demonstrate the existence of an energy contagion, in terms of a consistently higher interdependence between stock markets and the crude-oil market during the COVID-19 driven crisis. Such results applies to all countries in our sample, although oil exporters are shown to have been hit more heavily, with Russia exhibiting the highest contagion.

Overall, our results confirm the importance of crude oil on stock markets, which have been shown to behave as a market of one during the recent crisis.