Abstract
This paper examines the causal relationship between global oil price returns and aggregate COVID-19 index and COVID-19 uncertainty index by using daily data from 31st December 2020 to 28th April 2021. The results from the causality test show unidirectional causality from aggregate COVID-19 index to oil price returns and from uncertainty index to oil price returns. Furthermore, the frequency domain causality reveals the same results for both short and long periods. From a policy perspective, investors and industry people should pay attention to the uncertainty caused by COVID-19.
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