Abstract:The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize the dynamic interplay between stock market returns and crude oil prices, with a particular focus on China, factoring in the second-moment effect of volatility spillover. Employing an EGARCH process to model the leverage impact on returns’ volatility, the analysis utilizes daily data spanning from January 30, 2020, to August 30, 2022, and incorporates causality-in-mean and … Show more
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