The Impact of Oil Price Shocks on U.S. Industry Returns in the Pre COVID-19 pandemic, During and Post-pandemic

Ida Bagus Tedja Adnyana, Dr. Antti Yang, Dr. Amar Soebhag

2025 | Skripsi | ILMU EKONOMI

The paper examines the impact of oil price shock on U.S. industry returns during the COVID-19 era, specifically the pre-pandemic, within pandemic and post pandemic periods. The paper uses panel days of 8 firms with daily data over a time period of 28th of January 2019 up to the 31st of December 2021, amounting to 5,911 daily observations. Using a fixed effects regression model across multiple industries, we find that the impact of oil price shocks differ across industries, where some experience minimal effects and some are affected at greater magnitudes. Contrary to traditional theories of the inverse relationship between ol prices and market returns, our result suggests that an increase in oil shocks generate positive returns from the observed industries. Furthermore, we find that there exists an asymmetrical effect of positive and negative oil price shocks towards returns; the effect of oil prices also become more pronounced in the post-COVID period.

The paper examines the impact of oil price shock on U.S. industry returns during the COVID-19 era, specifically the pre-pandemic, within pandemic and post pandemic periods. The paper uses panel days of 8 firms with daily data over a time period of 28th of January 2019 up to the 31st of December 2021, amounting to 5,911 daily observations. Using a fixed effects regression model across multiple industries, we find that the impact of oil price shocks differ across industries, where some experience minimal effects and some are affected at greater magnitudes. Contrary to traditional theories of the inverse relationship between ol prices and market returns, our result suggests that an increase in oil shocks generate positive returns from the observed industries. Furthermore, we find that there exists an asymmetrical effect of positive and negative oil price shocks towards returns; the effect of oil prices also become more pronounced in the post-COVID period.

Kata Kunci : oil price, COVID-19, fixed effects