The Impact of Oil Price Changes on the Stock Markets in Main Oil Exporting Countries: The Role of COVID-19

We contribute to the literature on the linkage among shocks in oil price and stock markets fluctuations in oil-exporting economies. We evaluate the effects of COVID-19 pandemic on the magnitude and persistence of responses of stock markets to oil price sudden changes both before and during the pandemic. We also identify the most important structural breaks in stock markets during the period 2013-2021. We find evidence that the majority of developing oil-exporting countries faced a major structural break in their stock markets in 2014 following the spectacular fall of oil price in that year. By contrast, their developed counterparts have been subject to structural break during the CIVID-19 pandemic. The outcomes of the generalize d impulse response analysis suggests that, shocks in oil price tend to hit oil exporters more severely throughout the COVID-19 pandemic than before the outbreak of the pandemic.