Aziz, Mukhriz Izraf Azman and Azhari, Adilah and Mobin, M Ashraful (2022) Detecting Asset Price Bubbles During the Covid-19 Crisis and Its Implications: Evidence from The Stock and Oil Market. International Journal of Banking and Finance (IJBF), 17 (2). pp. 91-114. ISSN 2811-3799

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Abstract

This study investigates whether the COVID-19 pandemic has caused asset price bubbles in the stock and oil markets in the United States and Malaysia. More specifically, the study seeks to detect the onset and end of possible speculative bubbles and their causes in these markets. It also examines the existence of a contagion effect between the stock and oil markets during the Covid-19 pandemic. To achieve these objectives, the study used the Generalized SADF (GSADF) developed by Phillips et al. (2015) in order to check for existence of bubbles within the time frame from January 1, 2020, to April 24,2020. This technique allows one to look for the occurrence of multiple bubbles during the sample period with great precision. The findings showed that five out of the six equities, including the oil price indices had multiple bubbles. Evidence was also obtained which linked the explosive activity episodes between the crude oil market and the US stock markets from the start and end point of each bubble event. These findings add not only to the literature on the existence of bubbles in the financial and energy markets during the initial outbreak of COVID-19, but also to the significance of the negative impact of pandemics on bubble contagion effects under extreme market conditions.

Item Type:	Article
Uncontrolled Keywords:	COVID-19, bubble, stock market, oil price, GSADF, financial crisis
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs Nurin Jazlina Hamid
Date Deposited:	02 Mar 2023 14:25
Last Modified:	02 Mar 2023 14:25
URI:	https://repo.uum.edu.my/id/eprint/29204

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