This paper examines the price discovery of three international crude oil futures markets (WTI, Brent, INE) before and after outbreak COVID-19 with application information share component model. Our study shows that there is a structural break date March 6, 2020, in each series Zivot Andrew's unit root tests. Using Gregory Hansen cointegration tests, relationships May 2020 are detected. Accordin...

We provide a new investigation of the relationship between oil and stock prices in context outbreak coronavirus crisis. Specifically, we assess to what extent uncertainty induced by COVID-19 affects interaction United States (US) markets. To this end, use wavelet approach daily data from February 18, 2020 August 15, 2020. identify lead-lag prices, intensity at different frequency cycles moments...