Time-varying Relationship between Oil Prices, Stock Market Performance, and Covid-19 in United States of America, China, and Malaysia: Evidence from Wavelet Approach

Abstract

The purpose of this paper is to have a better understanding of the reactions to the oil price and stock market performance over a different period of the Covid-19 pandemic from January 2019 to August 2022 (Pre Covid, During Covid, and Post Covid) in the United States of America, China, and Malaysia. In the study, various approaches such as line graphs, descriptive statistics, correlation, wavelet correlation, continuous wavelet transform, and wavelet coherence analysis were used to analyse the decomposition of time series oil and stock market data in different time period. The study provides evidence of positive linear relationships between crude oil prices with the 3 countries’ stock markets in pre-covid, during-Covid and post-covid. In addition, both oil price and stock prices have evidence of a lead-lag relationship with each other, which differs in the period of time. The research results will benefit investors for better prediction during future pandemic situations and economic crises.