Research on the Influence of Covid-19 on U.S. Oil Industry Based on Fama-French 5-Factor Model
- 1 Soochow University
* Author to whom correspondence should be addressed.
Abstract
This article explores U.S. investors' investment decisions in the oil industry in response to three major events during the COVID-19 pandemic, which are the outbreak of the COVID-19 epidemic, the successful achievement of the Pfizer vaccine, and the end of the COVID-19 epidemic. The data, ranging from January 2019 to November 2022, is processed with Fama-French 5-factor model and the fitting results of the 5-factor model of these four periods of time are derived by multiple linear regression. The significance of each factor of the model will change due to different choices of investors, especially SMB, RMW and CMA. In different periods of the epidemic, investors will not pay attention to the market value, ROE and total asset growth rate of oil companies because of events that are not conducive to the oil industry, such as the US interest rate hike and the Russia-Ukraine war. In addition, investors will also refocus on these indicators when they hear news that is positive for the stock market, such as the successful development of Pfizer's vaccine or a cut in U.S. interest rates. By conducting comparisons and analyses, this article highlights the fluctuations in the stock market within the oil industry. The insights gained from this analysis can prove beneficial for both investors and government officials when formulating policies and making informed decisions.
Keywords
Oil Industry, U.S. stock market, Fama-French Model, COVID-19
[1]. Harjoto M A , Rossi F , Paglia J . COVID-19: Stock Market Reactions to the Shock and the Stimulus[J]. Applied Economics Letters, 2020, Forthcoming 2020.
[2]. Shaikh I. Impact of COVID-19 pandemic on the energy markets[J]. Economic Change and Restructuring, 2022, 55(1): 433-484.
[3]. Ghabri Y , Ayadi A , Guesmi K . Fossil energy and clean energy stock markets under COVID-19 pandemic[J]. Applied Economics, 2021:1-13.
[4]. Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J.(2020). COVID-Induced Economic Uncertainty. National Bureau of Economic Research..
[5]. Zhang, J., Hayashi, Y., & Frank, L. D. (2021). COVID-19 and Transport: Findings from a Worldwide Expert Survey. Transport Policy, 103, 68–85.
[6]. Farid S , Kayani G M , Naeem M A , et al. Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic[J]. Resources Policy, 2021, 72(1):102101.
[7]. Zhang W , Hamori S . Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany[J]. International Review of Financial Analysis, 2021, 74.
[8]. Hou D , Chen Z . Research on the application of Fama-French 5-factor model in the steel industry during COVID-19[J]. Journal of Physics: Conference Series, 2021.
Cite this article
Gu,J. (2023). Research on the Influence of Covid-19 on U.S. Oil Industry Based on Fama-French 5-Factor Model. Advances in Economics, Management and Political Sciences,2,49-58.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
Disclaimer/Publisher's Note
The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of EWA Publishing and/or the editor(s). EWA Publishing and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.
About volume
Volume title:
© 2024 by the author(s). Licensee EWA Publishing, Oxford, UK. This article is an open access article distributed under the terms and
conditions of the Creative Commons Attribution (CC BY) license. Authors who
publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons
Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this
series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published
version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial
publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and
during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See
Open access policy for details).