Covid-19 and Time-Frequency Spillovers between Oil and Sectoral Stocks and Portfolio Implications: Evidence from China and Us Economies

This paper examines the volatility spillovers and the time-frequency dependence between crude oil and stock sectors of US and China. We also rely on the effects of the COVID-19 pandemic on spillover effects and portfolio management. The results reveal evidence of strong positive co-movements between WTI oil and US sector stock returns at medium and low frequency particularly in 2020Q1. We find significant long-term co-movements between oil and Chinese sector stock returns (64-128 days). More importantly, the hedging with oil is expensive for US sectors during the pandemic and cheap for Chinese sectors.