Energy Strategy Reviews 38 (2021) 100696

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Energy Strategy Reviews

journal homepage: www.elsevier.com/locate/esr

The COVID-19 shocks on the stock markets of oil exploration and

production enterprises
Di Chen a, Haiqing Hu a, Chun-Ping Chang b, *
a
School of Economic and Management, Xi’an University of Technology, China
b
Shih Chien University, Taiwan

A R T I C L E I N F O A B S T R A C T

JEL classification: Using daily data from January 1, 2020 to March 31, 2021, this research explores COVID-19 shocks on the stock
JEL market of 15 representative oil exploration and production enterprises from 7 countries. We measure the COVID-
G14 19 epidemic from two levels, government response stringency index and number of confirmed cases, and employ
C33
stock prices and stock market returns to reflect the stock market. Our research results confirm that both the
I18
Q40
government response stringency index and the number of confirmed cases have a significantly negative influence
on stock prices. We further find that the negative reaction of the stock market to the government response
Keywords:
COVID-19 pandemic
stringency index is greater than that from confirmed cases. Finally, we conclude that the government response
Confirmed cases stringency index have a significantly positive effect on stock market returns of oil exploration and production
Government response stringency index enterprises. Similar findings arise from analyzing specific enterprises. Overall, our conclusions provide some
Oil exploration and production enterprises useful information for the decision-making of oil exploration and production enterprises’ investors and policy
Stock market makers.

1. Introduction to financial markets [2–4]. As the stock market is a barometer of eco­

The severe acute respiratory syndrome coronavirus (COVID-19)
epidemic erupted at the end of December 2019 and rapidly spread to
more than 200 countries, with the United States, Brazil, India, and
Russia having suffered serious epidemics. On March 11, 2020, COVID-
19 was designated as a true pandemic by the World Health Organiza­
tion (WHO) and by August 2, 2020, more than 17.66 million confirmed
cases and 680,000 deaths accrued worldwide. In addition to medical
measures such as treatment and vaccine development, governments
have adopted non-medical policies such as city lockdowns, isolation of
patients, school and factory closures, travel cancellations, the prohibi­
tion of gatherings, and so on [1]. Although these policies did contribute
to prevent the rapid spread of the COVID-19 epidemic, they unfortu­
nately caused tremendous damage to global economic activities and
prompted the worst recession since the Great Depression.1 The
COVID-19 epidemic at the same time brought great panic and pressure
nomic development [5], the panic mood of investors in various countries
increased during the pandemic.2 Previous studies have shown some
major emergencies have caused extreme turbulence in stock markets,
such as wars [6], infectious diseases [7–9], and natural disasters
[10–12]. However, due to the spread, speed, high mortality rate, and
uncertain control time of the COVID-19 epidemic, its shocks to the stock
markets of various industries has been far-reaching [13].
Unlike previous studies’ focus of the COVID-19 epidemic’s influence
on stock markets as a whole, this paper targets its impact on the stock
market of oil exploration and production enterprises. Oil, as the most
widely used energy in the world, is called “the blood of industry” and is
an essential basic material in the process of economic development and
modernization of all countries [14–16]. The huge fluctuations in oil
prices have had a clear impact on the economy and stocks of the oil
sector. The interruption of demand relative to excess supply during the
epidemic period made the benefits of oil exploration enterprises

* Corresponding author.
E-mail address: cpchang@g2.usc.edu.tw (C.-P. Chang).
1
The United States GDP contracted by 4.8 % in the first quarter of 2020, which was the lowest level in nearly 12 years, while that of China shrank by 6.8 %, which
hit a record low ever since its reform and opening up in 1979.
2
The CBOE Volatility Index (VIX), which measures market panic, rose to 82.69 on March 16, 2020, reaching its highest point exceeding the peak value during the
2008 global financial crisis. The U.S. stock market triggered market circuit breakers many time, while the stock indices of the UK, Germany, France, and other
countries fell by more than 40 %.

https://doi.org/10.1016/j.esr.2021.100696
Received 18 December 2020; Received in revised form 2 July 2021; Accepted 28 July 2021
Available online 9 August 2021
2211-467X/© 2021 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
D. Chen et al.
uncertain, which affected their stock prices and stock returns.
Under the impact of the COVID-19 pandemic, the measures taken by
governments to prevent and control the epidemic, such as city lock­
downs, workplace closures, and closing public transport, caused wide­
spread production to stop [17,18]. While rigid expenditures such as rent,
staff wages, and financial expenses remain unchanged, downstream oil
firms and industries faced the risk of cash flow interruption and reduced
demand for oil, which caused an overall deterioration of the oil pro­
duction and supply chain environment. Furthermore, it affected the cash
flow of oil exploration and production enterprises, making their income
uncertain and influencing their industry’s stock market. Therefore, it is
of crucial significance to clarify the COVID-19 epidemic shocks to the
stock market of oil exploration and production enterprises through
empirical research.
This research thus discusses the impact of the COVID-19 epidemic on
the stock markets of oil exploration and production enterprises. On the
one hand, according to the results herein, a government can evaluate the
severity of an epidemic’s impact on the oil exploration and production
market and adjust the breadth of its oil reserve policy in time during an
epidemic period. On the other hand, the government can form reverse
feedback information of its epidemic prevention and control policy and
adjust the tightness of the epidemic prevention policy according to the
degree of the epidemic’s effect on the oil market. This strand of research
can also help oil exploration and production enterprises adjust their
expectations for the future stability of the oil market according to the
dynamic changes of the epidemic situation and fine-tune their short-
term and long-term oil development plans to reduce the cost of pro­
duction risk during the epidemic period.
The COVID-19 shocks on oil exploration and production enterprises’
stock markets can theoretically be explained from the following three
angles. First, its shocks influenced the supply and demand relationship
in the oil market, resulting in turbulent oil prices, which in turn affected
the stocks of oil exploration and production enterprises. From the supply
perspective, oil exploration, production, and processing all have the
characteristics of being labor-intensive. Measures taken by governments
in response to the COVID-19 epidemic, such as workplace closures,
restricted the normal market workforce and affected the production of
many enterprises. At the same time, measures such as the closure of
public transport, restrictions on internal movement, and suspensions of
international travel negatively influenced the transportation of oil,
increasing the cost of oil storage for enterprises and thus affecting oil
supply. From the perspective of oil demand, the slowdown in global
economic growth has put heavy pressure on the energy industry, espe­
cially oil as it is the most representative and frequently traded com­
modity. Government responses to the COVID-19 epidemic have led to
shrinking industries, falling transport usage, and a halt in air traffic. Oil
demand even dropped to the lowest level in the last twenty years [19].
Therefore, it is not difficult to infer that the COVID-19 epidemic has
affected the supply and demand relationship of oil and caused turbu­
lence therein. Under this situation, most of the world’s oil exploration
and production enterprises have faced bankruptcy.3 Some oil producers
have even applied for bankruptcy protection, thus impacting sector
performance even more [20] and leading to a decline in oil exploration
and production enterprises’ stock prices.
Second, according to the theory of emotion, the impacts from news
on the different emotions of investors and financial markets vary widely
[12]. Generally speaking, negative news is more likely to cause stock
market volatility than positive news [21]. In the case of COVID-19, the
media has paid close attention to the development trend of the epidemic
3 like in previous studies and also choose the government response
See the website of http://finance.sina.com.cn/stock/t/2020-06-27/doc-ii
rcuyvk0601533.shtml. According to statistics, China’s daily oil demand fell
by about 3 million barrels. Schlumberger, which is the largest oilfield service
company in the world, announced that 21,000 of its employees would be laid
off.
2
Energy Strategy Reviews 38 (2021) 100696
and sometimes spread negative news to investors, especially in the oil
market, which caused fear and panic in the oil markets due to bearish oil
market earnings (Mailal, 2011 [22]; and increased volatility and un­
certainty in the oil stock market. Based on the real option theory, when
facing uncertainty in the energy market, investors have the right to
postpone investment, change the capital distribution of the oil market,
and re-organize their asset allocation and portfolio to avoid investment
risk [23]. Hence, this ultimately leads to drops in energy stock prices.
Governments eventually adopted a series of containment and closure
policies, such as blockade and travel restrictions. Although the imple­
mentation of these policies brought short-term adverse economic effects,
these measures can reduce the infection rate of the COVID-19 epidemic
[24], saving more lives that could have been infected or died by the
epidemic, and contribute to the prevention and control of the epidemic
(Narayan, Phan and Liu 2020b). In this way, with the further control of
the epidemic, investors’ confidence in the future economic recovery and
development and the improvement of corporate performance will in­
crease, and stock market returns should subsequently rise [25].
The influence of the COVID-19 epidemic on the social economies and
financial markets has also attracted the attention of many scholars [26,
27]. Some have discussed the COVID-19 epidemic impact on the stock
market [13,25,28–36], but these studies mainly focus on the global
stock market or a country’s stock market as a whole, with few studies
targeting a single industry. Other scholars have studied changes in oil
demand [37,38,39], oil prices (Narayan et al., 2020 [40]; Gil-Alana and
Monge; 2020; Sui et al., 2020; [41]), energy enterprises [42] as well as
the relationship between oil markets and economic variables (Jeris and
Nath, 2020) during the COVID-19 epidemic. In addition, Akrofi and
Antwi [19] discuss the measures taken by government energy de­
partments in Africa in response to the COVID-19 epidemic. From the
perspective of avoiding investment risks, Gharib et al. [43,44] test and
confirm that investment in the oil market is risky during the period of
COVID-19 epidemic, while gold can be considered as a reliable
safe-haven asset.
Although these studies have analyzed the influence of the COVID-19
epidemic on oil from multiple perspectives, it is still unclear how stock
market of oil exploration and production enterprises reacted to the
epidemic by considering oil sources, energy, and the stock market
together. At the same time, we note that the proxy indicator for
measuring the epidemic shocks in most existing literature mainly focus
on the number of confirmed cases or deaths, which only reflect the
development trend of the epidemic situation intuitively, and there may
be underreported confirmed and deaths in countries. By comparison,
government responses to the epidemic situation and the prevention and
control measures adopted give more connotation to the judgment over
the COVID-19 epidemic shocks’ severity. In particular, the reduction in
oil prices depends on government prevention and control measures,
such as restricting travel and closing factories. Therefore, it is necessary
to discuss the impact of the epidemic on the stock prices of oil enter­
prises according to different proxy variables. At the same time, as Elliott
et al. [45] mentioned, we find that most of the existing studies on the
COVID-19 epidemic’ impact use Difference in Difference (DID), tradi­
tional time series, and panel data model. However, these methods tend
to ignore endogeneity problems and cross-sectional dependence in the
variables, resulting in a decrease in the effectiveness of the researches.
To overcome the shortcomings of the above research, this paper
discusses the COVID-19 epidemic shocks on the opening and closing
prices of 12 oil exploration and production enterprises from 5 countries
in the world from January 1, 2020 to March 31, 2021. To describe the
COVID-19 epidemic shocks more comprehensively, we select the num­
ber of daily new confirmed cases of COVID-19 per million people (CASE)
D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

stringency index (GRSI) in consideration of the role governments play in √̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅

controlling the pandemic.4 We also use the stock prices and stock returns 2T ∑N− 1 ∑N
CD = ρ (2)
of oil exploration and production enterprises to denote the stock mar­ N(N − 1) i=1 j=i+1 ij

ket’s response to the epidemic.

We first use the cross-section dependence (CSD) test of Pesaran [46] Here, ρij represents the product correlation errors of countries i and j.
and Pesaran [47] to test whether CSD exists in this paper.5 The CSD test Pesaran [47] puts forward the weak cross-sectional dependence test,
solves the cross-sectional dependence problem in the variables and also which can be applied with a small sample and heterogenous slope:
deals with the endogeneity problem in the DID method seen in the ∑
T ∧ ∧
previous literature. Once it is confirmed that there is CSD in the variable, uit ujt
(3)
∧ ∧ t=1
the Cross-sectionally Dependent Augmented Dickey Fuller (CADF) test ρ =ρ =
ij ji
∑T ∧ 2 ∑T ∧ 2
proposed by Pesaran [48] is adopted to test the stability of the variable. ( uit )1/2 ( ujt )1/2
Considering that the univariate variable time series may undergo
t=1 t=1

structural changes, we next utilize the minimum Lagrange multiplier Here, u represents the estimation residual.
(LM) unit root test model with structural break proposed by Refs. [49,
50] to test the stability of the variable and execute the endogenous (2) Panel unit root test
multiple structural break test of Bai and Perron [51] to confirm the
existence of structural break points. Finally, to clarify the exact Once the existence of CSD in panel members is confirmed, the
COVID-19 shocks on the whole or specific oil exploration and produc­ traditional panel unit root test proposed by Maddala and Wu (1999) and
tion enterprises’ stock market, we employ the newly developed panel Levin et al. (2002) is invalid. This paper takes the CADF test, which is
data mean group (MG) estimation proposed by Chudik and Pesaran newly developed by Pesaran [48]; to judge the variables’ stationarity.
[52]. Overall, whether in the full samples or for specific enterprise, the This method is suitable for CSD of variables. The model for the unit root
research results confirm that the COVID-19 epidemic negatively in­ test of Pesaran [48] is defined as:
fluences oil exploration and production enterprises’ stock prices, and the ρ
∑ ρ
∑
government response stringency index has a positive impact on the stock △yit = δi + βi yit− 1 + φi yit− 1 + λij △yit− 1 + νij △yt− j + dit + εit (4)
returns of oil exploration and production enterprises. j=1 j=0

The remaining structure of the article is arranged as follows. Section ∑

2 introduces the research methods. Section 3 explains the data source
and statistical description of the data. Section 4 presents the empirical
test results and analyzes them. The last section is the conclusion and
some policy suggestions.
2. Methodology
The panel model has many advantages, such as a large information
dataset, reducing collinearity between variables, making more accurate
predictions of individual results, and improving the effectiveness of
model estimation [53]. However, previous studies have confirmed that
cross-section dependence problems may often exist in panel models.
Therefore, in this paper we exploit some new developed methods to
explore COVID-19 shocks on oil exploration and production enterprises’
stock prices.
(1) Cross-sectional dependence
Here, yt = N1 Ni=1 yit , which represents the unobserved common fac­
tor; βi stands for the coefficient of first lag; φi , λij , and νij stand for the
individual specific effect, individual linear trend, and common time
effect for all individuals, respectively; and εit is the error term. According
to Pesaran [48]; the stationarity test depends on the t-value of βi , either
separately or jointly.
Although the CADF method considers the existence of variables’
CSD, as the univariate variable time series is subjected to a major shock,
it will often undergo structural changes and may lead to a misidentifi­
cation of the time series by the unit root test. Therefore, to reduce the
probability of rejection of an alternative hypothesis in the unit root test
and obtain more accurate stationarity results, in the revised manuscript
we add the minimum Lagrange multiplier (LM) unit root test model with
structural break, as proposed by Refs. [49,50]. We then employ the
endogenous multiple structural break test of [51]; hereafter BP) to
confirm whether the sequence has a structural break and the location of
the structural breakpoint.

The first-generation panel unit root test assumes that each variable is
independent on the cross-section. If the existence of CSD is ignored, then
the empirical results will be biased [54]. Based on this, before examining
the COVID-19 shocks on oil exploration and production enterprises’
stock prices, this paper first follows Pesaran [46] and Pesaran [47] to
check whether there is CSD in the panel dataset.
We define the model as follows:
yit = αi + βit xit + uit (1)
Here, i = 1, 2, 3 … …N, as N represents the sample size; t = 1, 2 ……
T, where T represents the time period; βit represents the K × 1 parameter
vector for the explanatory variable denoted by xit ; αi represents the in­
dividual constant parameter; and μit represents the regression residual.
The statistic of Pesaran [46] can be calculated as follows:
(3) Panel long-run estimates
We finally use MG proposed by Pesaran [55] to estimate the
long-term estimation parameters of GRSI and stock market as well as
CASE and stock market. At the same time, to understand the influence of
factors in the long-term estimation, we also use the MG method to es­
timate the long-term parameters of the impacts of GRSI and CASE on the
stock prices and returns of 15 oil exploration and production enterprises.
The model is calculated as:
ΔCLOSEit = ψ 0 + ψ 1 ΔGRSIit + d2 (wt ) + μit (5)
ΔRETURNit = ξ0 + ξ1 ΔGRSIit + d1 (wt ) + μit (6)
ΔCLOSEit = ρ0 + ρ1 ΔCASEit + d4 (wt ) + μit (7)

ΔRETURNit = ϕ0 + ϕ1 ΔCASEit + d3 (wt ) + μit (8)

4
Some studies have also used the number of daily cases of deaths from Here, the term wt represents any excluded idiosyncratic process that
COVID-19 to measure the epidemic. Upon request, we can provide the empir­ evolves over time. We calculate stock returns (RETURN) as follows:
ical results.
5 RETURNit = (CLOSEit − CLOSEi(t− 1) )/CLOSEi(t− (9)
In fact, in macroeconomic panel data, different variables are likely to be 1)

jointly impacted by a common event, which often leads to cross-sectional

dependence among various units in the panel [60].

3
D. Chen et al.
3. Data description
This paper aims to investigate COVID-19 shocks on the stock prices
of 15 representative oil exploration and production enterprises in 5
countries from January 1, 2020 to March 31, 2021. As mentioned
earlier, we use CASE and GRSI as proxy indicators of the severity of the
COVID-19 epidemic. Data on the number of confirmed cases per million
people in each sample country are from https://ourworldindata.
org/grapher/new-covid-cases-per-million. The higher the values of
CASE are, the greater is the severity of the COVID-19 epidemic. GRSI
reflects the information of different policies adopted by governments in
response to the pandemic, collected by the Oxford COVID-19 Govern­
ment Response Tracker (OxCGRT). The data of GRSI are from https://
ourworldindata.org/grapher/covid-stringency-index. The variable is
composed of nine indicators from the aspects of containment and closure
and health system, including school closures, workplace closures,
cancelling public events, restrictions on gatherings, closure of public
transport, public information campaigns, stay at home mandates, re­
strictions on internal movement, and international travel controls. GRSI
is the weighted average value of these nine indicators, and the value is
from 0 to 100. A higher value means the more severe the government’s
policy toward the pandemic is and, to some extent, the more serious the
epidemic situation is.
The 15 representative oil exploration and production enterprises are
chosen following the guidance provided by Our World in Data.6 The 15
enterprises include Beach Energy (BCHEY), Cairn Energy (CRNCY),
Enquest Lon (ENQUF), Genel Energy (GEGYY), Harbour Energy
(HBRIY), Hurricane Energy (HRCXF), Inpex (IPXHY), Kosmos Energy
(KOS), LEKOIL (LEKOF), Nostrum Oil & Gas (NSTRY), Pantheow Resrcs
(PTHRF), Pharos Energy (SOCLF), Tullow Oil (TUWOY), Vaalco Energy
Inc. (EGY), and Vermilion Energy (VET), which are listed in the seven
sample countries of Australia, Canada, Japan, Netherlands, Nigeria,
United Kingdom, and the United States. The reasons why we choose
these 15 enterprises are as follows. On the one hand, these sample en­
terprises are the top stocks among international oil and gas exploration
enterprises as reported by the website of Our World in Data. Their
comprehensive strength in terms of exploration, development, and
production of crude oil and natural gas assets are at the top level in the
world. On the other hand, the stock exchanges these sample enterprises
are listed on, such as London Stock Exchange, American Stock Exchange,
Tokyo Stock Exchange, and Toronto Stock Exchange, are among the
world’s leading international financial centers in terms of total market
value, trading volume, and liquidity. To sum up, we believe that the
stocks of these enterprises are strongly representative of the oil explo­
ration and production sector during the COVID-19 epidemic. We collect
the daily closing prices (CLOSE) of these oil exploration and production
enterprises from https://www.macrotrends.net/stocks/industry/222
/international-e-p.
Fig. 1 describes the trend chart of CLOSE of 15 oil exploration and
production enterprises and the trend charts of CASE and GRSI of coun­
tries to which these enterprises belong. Figure 2 depicts the stock market
returns of the 15 oil exploration and production enterprises and the
trend charts of CASE and GRSI. It is obvious that each country’s CASE
shows a trend of first rising and then falling and then rising and falling,
while GRSI presents a stable rising trend. On the contrary, the CLOSE
charts of most oil exploration and production enterprises show a trend of
first declining and then rising and then declining and then rising, while
RETURN presents a stable rising trend.
We analyze the trend charts of COVID-19 epidemic and the stock
market from four stages. The first period is from January 2020 to March
2020. In the middle of January 2020, with the outbreak of COVID-19,
CASE shows a rising trend, and the governments actively introduced
6
https://www.macrotrends.net/stocks/industry/222/international-e-p; the
complete list can be found at this link.
4
Energy Strategy Reviews 38 (2021) 100696
epidemic prevention and control measures, and so GRSI has a rising
trend. At the same time, national economies shrank during this period,
especially due to the more stringent epidemic prevention and control
measures such as factory closures and travel bans, resulting in a further
decline in oil demand and a drop in oil prices. As a result, the stock prices
of oil exploration and production enterprises showed a downward trend.
However, with the governments’ responses to COVID-19, investors’
confidence in them controlling the epidemic and in an economic re­
covery was enhanced. Therefore, in Figure 2, with the rise of GRSI in this
period, RETURN gradually increases from a negative value.
The second stage is from April 2020 to July 2020. Government re­
sponses to the epidemic played a significant role in the control of the
epidemic. At this stage, the number of cases gradually decreased.
However, considering the incubation period of the virus, and the global
epidemic situation was still relatively severe, GRSI remains at a stable
high level despite a slight decline. During this period, in order to hedge
against the negative impact of the epidemic and stabilize the liquidity
crisis, governments successively issued a variety of positive fiscal pol­
icies and loose monetary policies, which helped stock markets to
rebound. Therefore, CLOSE shows an upward trend, and RETURN is in a
positive and stable trend.
At the end of July 2020, the epidemic in many countries such as the
United Kingdom and Canada rebounded, and the probability of virus
transmission became greater than in the winter. Therefore, the number
of confirmed cases increased, and GRSI remains stable at a high level.
The fourth stage is from January to March 2021. During this period,
the epidemic was under control, CASE shows a downward trend, CLOSE
rises, and GRSI and RETURN maintain a stable trend. To further clarify
the COVID-19 shocks on oil exploration and production enterprises’
stock prices, we shall conduct a quantitative analysis in the next section.
Table 2 presents the data descriptive statistics of each variable dur­
ing January 1, 2020 to March 31, 2021. For CASE, the maximum value
(MAX) is 1004.507, while the minimum value (MIN) is 0, and the
standard deviation (SD) is 182.868. The MAX and MIN of GRI are 83.96
and 0, respectively, and SD is 25.187. These huge differences show the
severe situation of the COVID-19 epidemic in different countries where
the sample enterprises are located, and the responses of governments to
the epidemic situation also varied a lot. In the early stage, the epidemic
may not have looked serious, and government responses were relatively
slow. However, with the spread of the epidemic and the number of
confirmed cases increasing, their responses to the epidemic gradually
intensified.
We also see huge differences between MAX (35.72) and MIN (0.01)
of CLOSE as well as and MAX (17) and MIN (− 1.21) of RETURN. This
illustrates large differences and fluctuations in the stock markets of
energy exploration and production enterprises, which likely were
caused by the impact of the epidemic. Therefore, it is necessary to
explore the effect of the COVID-19 epidemic on the stock markets of oil
exploration and production enterprises.
4. Empirical results
4.1. Cross-sectional dependence test
Before analyzing the correlation between COVID-19 and oil explo­
ration and production enterprises’ stock prices, we first check whether
there is the problem of CSD in all the variables. Table 3 shows the CSD
test results of four variables. We can see from the test results of Pesaran
[46] and Pesaran [47] that all the P-values for the CSD test are 0,
indicating under the two tests that the four variables all reject the null
hypothesis, which means there is CSD in the variables and reveals that
the stock prices and stock returns of each enterprise and the develop­
ment of COVID-19 epidemic situation in every country are related to
each other.
D. Chen et al.
4.2. Panel unit root test
Considering the existence of CSD for variables, the second-
generation CADF method, which is newly developed by Pesaran [48];
is exploited to test the stability of CLOSE, RETURN, CASE, and GRSI.
From Table 4, except RETURN, CLOSE, GRSI, and CASE all accept the
null hypothesis, which means that these three variables all are
non-stationary. We then perform first-order difference processing for
CLOSE, RETURN, CASE, and GRSI. In Table 4, the test results confirm at
the 1 % significance level that all variables after first-order difference
processing reject the null hypothesis - that is, the variables of ΔCLOSE,
ΔRETURN, ΔCASE, and ΔGRSI are stationary.
If there is a structural breakpoint in the variable, then it may influ­
ence the effectiveness of the unit root test results. Therefore, the LS
(2003, 2004) test with structural breaks is then used in this section to
test the stability of the variables. Table 5 presents the LS test results with
an intercept (Model A) as well as intercept and slope break (Model C). It
can be seen that the null hypothesis of Model A is rejected in some
variables, while the null hypothesis of Model C is rejected in all vari­
ables. Since Model C performs better than Model A and provides more
information for mean regression [56], we believe that all variables are
stable.
We next use the Bai and Perron [51] test on the structural break for
all variables. The results appear in Table 6. It can be seen from Table 6
that the values of UDmax statistic and WDmax statistic of CASE in 7
countries, GRSI in 5 countries, CLOSE in 15 enterprises, and RETURN in
2 enterprises are respectively significantly greater than their critical
values, indicating that there are structural breakpoints in these vari­
ables. For GRSI, the breakpoints may occur in March 2020, June 2020,
August 2020, November 2020, and January 2021; for CASE, the
breakpoints occur in March 2020, May 2020, September 2020,
November 2020, and January 2021; for CLOSE, the breakpoints occur in
March 2020, May 2020, August 2020, November 2020, and January
2021; and for RETURN, the breakpoints of the two enterprises occur in
March 2020, June 2020, August 2020, November 2020, and January
2021. In general, the BP test results show that the time series of GRSI and
CASE in most countries, as well as CLOSE in enterprises, have structural
breakpoints, thus confirming the necessity of the LS test to a certain
extent.
4.3. Panel long-run estimation analysis
This paper uses the MG method to further explore the impact of GRSI
and CASE on the stock prices and returns of oil exploration and pro­
duction enterprises. The results are in Table 7. From Table 7, at a 1 %
significance level, GRSI has a long-run negative impact on CLOSE.
Similarly, in the long term, CASE significantly negatively influences
CLOSE. The results indicate that the more people there are who are
confirmed with COVID-19, the greater is the probability that the stock
prices of oil exploration and production enterprises decrease accord­
ingly. Similarly, increases in the strictness of prevention and control
measures by government in response to the COVID-19 epidemic also
have a negative shock on stock prices. This is because, on the one hand,
the COVID-19 pandemic caused great harm to the world from medical
treatments to economic growth [19]. On the premise of ensuring the
health of citizens, various government departments are forced to
introduce policies that sacrifice economic development, such as closing
schools and factories and mandating citizens stay at home. The shut­
down of production, tourism, and the aviation industry undoubtedly led
to the decline of oil demand in the market as well as an increase in the
cost of oil transportation and storage for oil exploration and production
enterprises [57]. Overall, this spurred a significant drop in oil prices and
reduced revenue for oil exploration and production enterprises, which in
turn affected stock prices. On the other hand, the large-scale real eco­
nomic depression caused by the epidemic has brought potential risk
factors to financial and capital markets. In the face of uncertainty,
5
Energy Strategy Reviews 38 (2021) 100696
investors have undoubtedly increased their demand for safe-haven as­
sets, leading to a shift in the layout of the oil capital market. The
COVID-19 epidemic shocks broke the balance of supply and demand in
the oil market and transmitted negative sentiment to investors, which
eventually led to the poor performance of oil exploration and production
enterprises and a decline in their stock prices.
The remarkable thing in Table 7 is that the negative shocks of GRSI
on CLOSE are significantly higher those of CASE on CLOSE. Specifically,
for every 1 % increase in GRSI, CLOSE decreases by 13.1 %, and for
every 1 % increase in CASE, CLOSE drops by 7.9 %. The potential rea­
sons may lie in the following two aspects. First, CASE only objectively
reflects the number of confirmed cases, while GRSI denotes the gov­
ernment’s response to the COVID-19 epidemic. This latter indicator in­
cludes the health system, containment, and closure measures adopted by
the government, which cover more information than CASE. These
measures affect a whole country’s economic activity, which in turn is
transmitted to the capital market.
Second, GRSI reflects epidemic prevention and control measures
such as closing factories and public transportation and restricting in­
ternational travel and movement. These measures directly reduced the
demand for oil consumption in industrial production and transportation,
spurring oil prices to fall further. Compared with CASE, the information
in response to GRSI provides oil investors with evidence on oil price
fluctuations caused by the epidemic more directly and comprehensively.
Therefore, the GRSI shocks on oil exploration and production enter­
prises’ stock prices are naturally greater than the shocks of CASE on
stock prices in past research, where only CASE is used to measure the
COVID-19 epidemic, which undoubtedly weakens the shock of the
COVID-19 epidemic upon the stock market.
We further draw an interesting conclusion that the increase of GRSI
did not lead to a decrease of RETURN, but rather that an increase of GRSI
raised RETURN, but the impact of CASE on RETURN is not significant.
The results indicate that a government’s policy in response to the
COVID-19 epidemic can improve the stock market returns of oil explo­
ration and production enterprises. The implementation of restrictions
and closure policies, such as closing schools, workplaces, and public
transportation, had a negative impact on economic activities in the short
term and affected stock prices. However, the implementation of this
series of policies strictly controlled social distancing, reduced the flow of
people, and thus decreased the probability of epidemic infection. This
sent a positive signal for investors’ confidence in governments’ control
of the epidemic and in the future economic recovery. Therefore,
although the COVID-19 epidemic brought about a decline in the stock
prices of these enterprises, government policies toward the COVID-19
epidemic were able to slow down the decline of stock prices by
enhancing the confidence of investors, thus bringing positive market
returns. The studies of Phan and Narayan Phan and Narayan (2020) and
Chang et al. [25] also confirm our conclusion.
4.4. Long-run parameters’ estimations for a specific enterprise
Taking into account the heterogeneity of companies is an important
factor in exploring the COVID-19 epidemic shocks on the stock markets
of oil exploration and production enterprises. Therefore, after discussing
the overall impact of the epidemic on the stock markets of oil explora­
tion and production enterprises in the previous section, this section uses
the MG method to analyze the impact of the epidemic from the
perspective of specific enterprises. Here, we report the estimate results
of the shocks of GRSI or CASE on CLOSE and RETURN for each specific
listed firm for purposes of a more in-depth investigation.
The results are shown in Tables 8 and 9. As we have speculated,
among the stock prices of the 15 oil exploration and production enter­
prises affected by the COVID-19 epidemic, GRSI significantly negatively
affects their stock prices at a 1 % significance level. When using CASE as
the proxy indicator, only 2 (LEKOF and PTHRF) of 15 enterprises’ stock
prices experience a positive impact, while the stock prices of the
D. Chen et al.
remaining 13 enterprises are significantly negatively affected by the
COVID-19 epidemic.
In Table 9 we see among the stock returns of the 15 oil exploration
and production enterprises affected by the COVID-19 epidemic that 10
enterprises’ returns are positively affected by GRSI, and 7 of these 10 are
significantly affected. CASE has a positive impact on the stock market
returns of 11 enterprises, but only 1 has a significant impact. Therefore,
the shock of the epidemic on the specific enterprises’ stock prices and
returns varies with different proxy indicators. However, generally
speaking, the MG estimation results of specific enterprises are basically
consistent with the results of the whole sample in the previous section.
The stock prices of most oil exploration and production enterprises were
initially negatively affected by COVID-19, while the stock returns of
most enterprises were positively affected by COVID-19, especially when
GRSI is used to measure the severity of the epidemic. This conclusion
further reveals that the COVID-19 epidemic has negatively shocked the
stock prices of most specific oil exploration and production enterprises,
and government responses to the epidemic enhanced investors’ confi­
dence and had a positive impact on the stock returns of most enterprises.
5. Conclusion
During the period of the COVID-19 epidemic outbreak, the situation
facing the global oil market was extremely grim, and oil prices plum­
meted at an unprecedented rate, with even some futures contracts
experiencing negative prices. In this context, we incorporate the COVID-
19 epidemic and the stock prices of oil exploration and production en­
terprises into a research framework. Using data of 15 oil exploration and
production enterprises along with variables of COVID-19 epidemic
development from January 1, 2020 to March 31, 2021, this paper ex­
amines the shock of the pandemic on their stock prices and returns. On
the basis of previous studies using the number of confirmed cases to
measure the epidemic situation of COVID-19, this paper also introduces
the government response stringency index from the perspective of
government intervention. At the same time, we discuss the impact of
COVID-19 on the stock market from two aspects of oil exploration and
production enterprises: stock prices and stock returns. Our study pre­
sents some interesting results.
The results based on the MG estimation test show that GRSI and
CASE have a negative impact on the stock prices of oil exploration and
production enterprises. In particular, the information of the COVID-19
situation as reflected by GRSI is more comprehensive, and the impact
of GRSI on the stock prices of oil exploration and production enterprises
is greater than that of CASE. On the other hand, GRSI has a significantly
positive impact on the stock returns of oil exploration and production
enterprises. Similar conclusions are drawn from the impact of the
COVID-19 shock on specific oil exploration and production enterprises’
stock prices and stock returns. This shows that although the epidemic
had a negative impact on the economy and stock prices, the strict
epidemic prevention and control policies brought confidence in
epidemic control and economic recovery for investors in the capital
market to a certain extent and even alleviated the negative impact on
Appendix
6
Energy Strategy Reviews 38 (2021) 100696
stock prices.
The research findings have important significance for investors and
government decision-making. Previous studies believe that the COVID-
19 epidemic had a negative impact on economic development and the
stock markets, yet according to the research conclusions herein, we
believe that governments should indeed firmly implement epidemic
prevention and control policies during an epidemic period. On the one
hand, these efforts can reduce the negative impact on oil and stock
markets caused by the numbers of confirmed cases and deaths. On the
other hand, such efforts can reduce investors’ fear over the uncertain
impact of the epidemic, enhance their confidence, and contribute to the
stability of the financial market. For investors in the oil capital market,
they should clearly realize that epidemic prevention and control policies
have dual attributes. On the one hand, they do bring short-term stock
price fluctuations, but on the other hand, they show a government’s
determination to deal with the epidemic and restore the economy. In­
vestors could obtain good profit opportunities in the oil capital market
by accurately grasping the dynamic change signals of epidemic pre­
vention and control policies.
Declaration of competing interest
The authors declare that they have no known competing financial
interests or personal relationships that could have appeared to influence
the work reported in this paper.
Acknowledgments
We would like to thank the Editor and the anonymous reviewers for
their helpful comments and suggestions. Haiqing Hu is grateful to Na­
tional Natural Science Foundation of China (72072144, 71672144,
71372173, 70972053), Research Fund for the National Soft Science
Research Program (2014GXS4D153), the Doctoral Program of Higher
Education (20126118110017); the key project of Shaanxi soft science
research plan (2019KRZ007), Science and Technology Research and
Development Program of Shaanxi Province (2021KRM183,
2017KRM059, 2017KRM057, 2014KRM28-2). Also this research was
supported by Key projects of Shaanxi Natural Science Basic Research
Plan (2015JZ021), Key Project of Shaanxi Provincial Development and
Reform Commission (SJ-2019-000046-4), Key Projects of Social Science
Planning of Xi’an (17J85), Shaanxi technical innovation guidance
project (2017CG-016), Shaanxi Natural Science Foundation Project
(2021JQ-491), General projects of Social Science Foundation of Shaanxi
Province (2019S016), Research project on major theoretical and prac­
tical problems of philosophy and Social Sciences of Shaanxi Province
(2021ND0241, 2021ND0254), Project supported by science and tech­
nology plan of Gansu Province (20JR10RA333), and Postdoctoral fund
of Xi’an University of Technology (2019M653710), Youth project of
National Natural Science Foundation of China (71804146, 71902156),
Doctoral foundation of Xi’an University of Technology (105-
451118012), and Shaanxi Natural Science Basic Research Program
(2017JQ7009).
D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Fig. 1. Trend Stock Price, GRSI, and Confirmed Cases. Note: The green curve represent CLOSE of each oil exploration and production enterprise, while the blue curve
and the red curve report the trend of GRSI and CASE, respectively. Taking into account the difference in the value range of each variable and in order to show the
trend of each variable more accurately, the left ordinate axis represents the value scale of GRSI and CASE, and the right ordinate axis represents the value scale
of CLOSE.

7
D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Fig. 2. Trend Stock Return, GRSI, and Confirmed Cases. Note: The black curve represent RETURN of each oil exploration and production enterprise, while the blue
curve and the red curve report the trend of GRSI and CASE, respectively. Taking into account the difference in the value range of each variable and in order to show
the trend of each variable more accurately, the left ordinate axis represents the value scale of GRSI and CASE, and the right ordinate axis represents the value scale
of RETURN.

8
D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Table 1
The literature about the impact of COVID-19 epidemic on stock markets and oil.

Author(s) COVID-19 Stock market/Oil Findings

[29] CASE and DEATH Stock market in China Both CASE and DEATH negatively influence stock returns.
[33] CASE 21 stock indices CASE has a significantly negative impact on the stock index trend.
[31] CASE 12 stock markets COVID-19 epidemic increases the risk of the financial market.
Badar et al. (2020) CASE and DEATH 64 countries Stock returns decrease with CASE.
[34] Panic Index, Global Sentiment Indices for the world The panic caused by media’s epidemic news relates to the violent fluctuation of financial
Index, and Media Coverage and the U.S. markets.
[35] Government intervention 20 OECD countries CASE negatively influence stock markets, and governments’ intervention measures magnify
the negative effect of COVID-19 on stock returns.
[37] Daily cumulative infected people in Oil and electricity of The severity of the epidemic directly and indirectly affects the demand for electricity and oil.
China China
Jeris and Nath CASE and DEATH Brent oil COVID-19 has a long-term impact on the uncertainty of UK economic policy, and Brent crude
(2020) oil prices negatively influence the uncertainty of UK economic policy equilibrium.
Devpura and CASE and DEATH Oil price COVID-19 increases oil prices volatility.
Narayan (2020)
[58] – WTI crude oil prices The shocks of COVID-19 to oil prices are transitory, albeit have long-lasting effects.
[59] DEAT WTI crude oil price COVID-19 epidemic strength significantly impacts oil prices.
Note: CASE represents the number of daily confirmed cases from COVID-19. DEATH represents the number of daily death cases from COVID-19.

Table 2
Summary of descriptive statistics.

Variable N Mean SD Min Median Max

CLOSE 4663 3.968 6.701 0.01 1.18 35.72

RETURN 4663 0.007 0.274 − 1.21 0 17
GRSI 4633 58.544 22.184 0 67.13 87.96
CASE 4633 116.722 182.868 0 27.075 1004.507

Table 3
Cross-section dependence tests.

[46] [47]

Variable CD-test p-value Corr abs (corr) CD P

CLOSE 78.41*** 0.000 0.435 0.499 13.701*** 0.000

RETURN 13.71*** 0.000 0.076 0.097 83.281*** 0.000
GRSI 162.12*** 0.000 0.899 0.899 158.141*** 0.000
CASE 127.36*** 0.000 0.706 0.764 125.977*** 0.000
Notes: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 4
Results from the CADF panel unit root test.

CLOSE ΔCLOSE RETURN ΔRETURN GRSI ΔGRSI CASE ΔCASE

Group

CADF − 0.77 − 13.934*** − 14.813*** − 18.935*** 3.366 − 5.414** − 1.231 − 9.124***

Notes: The statistic of CADF is t-bar, and the critical value of t-bar for the CADF test of the ALL sample at the 1 %, 5 %, and 10 % levels is − 2.770, − 2.650, and − 2.590,
respectively. ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 5a
Results from the LM unit root test for CLOSE.

Series Model A Model C

TB K St-1 Bt TB K St-1 Bt Dt

BCHEY 20,210,216 8 − 0.01 (-0.86) − 0.14 (-0.11) 20,200,219 8 − 0.12***(-4.41) − 261.01***(-3.17) 175.73***(4.79)
CRNCY 20,200,504 8 − 0.03 (-1.30) − 0.21 (-1.09) 20,200,219 8 − 0.13***(-4.40) − 267.78***(-3.17) 180.62*** (4.77)
ENQUF 20,200,526 8 − 0.08 (-1.60) − 0.01 (-0.34) 20,200,219 8 − 0.13***(-4.40) − 268.92***(-3.17) 181.35*** (4.77)
GEGYY 20,200,415 8 − 0.05** (− 2.45) − 0.05 (-0.09) 20,200,219 8 − 0.20*** (− 4.78) − 2.53*** (− 2.66) 1.30*** (4.33)
HBRIY 20,200,616 8 − 0.03*(-1.71) 0.13*** (2.90) 20,200,219 8 − 0.13*** (− 4.39) − 268.99***(-3.17) 181.46*** (4.76)
HRCXF 20,210,129 8 − 0.04***(-3.07) − 0.002 (− 0.25) 20,200,219 8 − 0.13*** (− 4.39) − 268.92***(-3.17) 181.39*** (4.76)
IPXHY 20,200,120 8 − 0.01 (-1.21) − 0.09 (-0.27) 20,200,219 8 − 0.12*** (− 4.41) − 266.91***(-3.19) 179.85*** (4.80)
KOS 20,210,210 8 0.00 (-1.08) − 0.02 (-0.05) 20,200,313 8 − 1.59***(-33.59) 3211.01***(32.10) − 3212.96***(-33.57)
LEKOF 20,200,218 8 − 0.006 (-0.83) 1.99 (0.03) 20,200,218 8 − 1.59***(-33.55) 3210.01***(32.06) − 3211.83***(-33.50)
NSTRY 20,200,226 8 − 0.04**(-2.30) 0.92 (0.98) 2,020,727 8 − 0.65*** (− 9.76) 8.60***(8.06) 8.06*** (− 9.70)
PTHRF 20,200,224 8 − 0.08**(-2.18) 0.02 (0.2412) 20,210,112 8 − 0.97***(-10.14) 0.55*** (6.68) − 0.44*** (− 10.25)
(continued on next page)

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D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Table 5a (continued )
Series Model A Model C

TB K St-1 Bt TB K St-1 Bt Dt

SOCLF 20,200,501 8 − 0.05***(-2.46) 0.01 (0.49) 20,200,221 8 − 0.14*** (− 4.62) − 268.51***(-2.85) 171.60*** (4.24)
TUWOY 20,210,117 8 − 0.68***(-4.41) 0.02 (0.20) 20,200,219 8 − 0.77***(-6.39) − 0.24***(-2.82) 0.13***(5.74)
EGY 20,200,526 8 − 0.03 (-1.63) − 0.003 (-0.04) 20,200,219 8 − 0.22*** (− 5.17) − 0.42*** (− 2.85) 0.24***(4.83)
VET 20,200,415 8 − 0.05**(-2.45) − 0.06 (− 0.11) 20,200,219 8 − 0.20***(-4.82) − 2.53***(-2.67) 1.30*** (4.37)
Notes: TB, T1, and T2 are structural breakpoints. St-1 is the t statistic of LM. Bt is the coefficient of intercept term. Dt is the coefficient of the slope term. *** significance
at 1 % level; ** significance at 5 % level; * significance at 10 % level.

Table 5b
Results from the LM unit root test for RETURN.

Series Model A Model C

TB K St-1 Bt TB K St-1 Bt Dt

BCHEY 20,200,708 8 − 1.44***(-5.97) − 0.11**(-2.40) 20,200,218 8 − 0.12***(-4.41) − 261.01***(-3.17) 175.73***(4.79)

CRNCY 20,200,424 8 − 1.07***(-5.35) 0.002 (0.02) 20,200,407 8 − 0.57***(-6.15) 0.29***(2.84) − 0.15***(-5.91)
ENQUF 20,201,120 8 − 1.18***(-5.54) − 0.07 (-0.83) 20,200,827 8 − 1.22***(-5.99) 0.11 (1.35) − 0.05***(-4.18)
GEGYY 20,200,226 8 − 0.02 (-1.51) − 0.45 (-0.54) 20,200,218 8 − 0.17***(-5.14) − 326.23***(-3.35) 211.20***(4.74)
HBRIY 20,200,220 8 − 0.06**(-2.07) − 0.05 (-0.32) 20,200,313 8 − 0.44***(-6.01) − 0.37**(-2.47) 0.39***(5.74)
HRCXE 20,200,915 8 − 0.23***(-2.68) 0.02 (0.26) 20,200,203 8 − 1.2047***(-7.1382) − 0.24**(-2.46) 0.15***(6.31)
IPXHY 20,200,429 8 − 1.20***(-6.84) − 0.02 (-0.80) 20,200,507 8 − 1.23***(-7.15) 0.05 (1.54) − 0.005 (-1.59)
KOS 20,210,210 8 0.00 (-0.84) − 0.04 (-0.17) 20,200,218 8 − 1.59***(-33.55) 3209.95***(32.06) − 3211.79***(-33.50)
LEKOF 20,210,111 8 0.00 (-0.85) − 1.11***(-4.68) 20,200,218 8 − 1.59 (-1.59) 3209.99***(32.06) − 3211.83***(-33.50)
NSTRY 20,200,220 8 − 0.01 (-1.08) 6.99 (0.10) 20,200,810 8 − 0.66***(-9.47) − 9.73***(-7.79) 10.21***(9.46)
PTHRF 20,200,220 8 − 0.16**(-2.53) − 0.03 (-0.41) 20,201,203 8 − 0.83***(-7.21) − 0.27***(-3.12) 0.26***(7.31)
SOCLF 20,200,220 8 − 0.06*(-1.92) − 0.01 (-0.11) 20,200,303 8 − 0.39***(-5.11) − 0.13*(-1.67) 0.16***(4.67)
TUWOY 20,200,814 8 − 0.40***(-3.21) 0.01 (0.10) 20,200,723 8 − 1.54***(-7.12) − 0.22**(-2.08) 0.27***(6.84)
EGY 20,200,320 8 − 0.01 (-1.10) − 13.85 (-0.19) 20,210,209 8 − 1.20***(-20.86) 2420.63***(19.29) − 2423.74***(-20.82)
VET 20,200,226 8 − 0.02 (-1.54) − 0.45 (-0.54) 20,200,218 8 − 0.17***(-5.17) − 326.43***(-3.37) 211.18***(4.78)
Notes: TB, T1, and T2 are structural breakpoints. St-1 is the t statistic of LM. Bt is the coefficient of intercept term. Dt is the coefficient of the slope term. *** significance
at 1 % level; ** significance at 5 % level; * significance at 10 % level.

Table 5c
Results from the LM unit root test for GRSI.

Series Model A Model C

TB K St-1 Bt TB K St-1 Bt Dt

AUS 20,210,211 8 − 0.01 (-1.12) − 13.55 (-0.19) 20,200,403 8 − 1.21***(-20.95) 2419.19***(19.38) − 2421.26***(-20.92)
CAN 20,201,124 8 − 0.04 (-1.44) 0.28 (0.03) 20,200,221 8 − 0.14***(-4.71) − 283.37***(-2.96) 180.76***(4.35)
GBR 20,200,220 8 − 0.01 (-1.16) 1.91 (0.02) 20,210,308 8 − 1.14***(-19.22) 2295.21***(17.58) − 2231.95***(-19.18)
JPN 20,200,219 8 − 0.04*(-1.94) − 3.99 (-1.63) 2,020,036 8 − 0.37***(-6.91) − 12.69***(-4.36) 8.39*** (6.81)
NGA 20,200,327 8 − 0.09***(-2.93) − 1.04 (-0.38) 20,200,409 8 − 0.22***(-5.16) − 5.47* (− 1.77) 4.65*** (4.84)
NLD 20,200,421 8 − 0.06*(-1.83) − 4.65 (-0.22) 2,020,029 8 − 0.15***(-4.80) − 301.46***(-3.02) 190.30***(4.47)
IPXHY 20,200,408 8 − 0.02**(-2.41) 29.85 (1.53) 20,210,208 8 − 0.21***(-5.08) 243.09***(2.66) − 250.61***(-4.73)
Notes: TB, T1, and T2 are structural breakpoints. St-1 is the t statistic of LM. Bt is the coefficient of intercept term. Dt is the coefficient of the slope term. *** significance
at 1 % level; ** significance at 5 % level; * significance at 10 % level.

Table 5d
Results from the LM unit root test for CASE.

Series Model A Model C

TB K St-1 Bt TB K St-1 Bt Dt

AUS 20,200,330 8 − 0.09 (-2.49) − 0.87 (-0.26) 20,200,406 8 − 0.35***(-6.69) − 11.33***(-2.95) 8.84***(6.62)
CAN 20,200,708 8 − 0.06 (-1.76) − 0.12 (-0.01) 20,200,218 8 − 0.17***(-5.15) − 326.91***(-3.36) 208.73***(4.75)
GBR 20,201,113 8 − 0.07 (-1.58) − 0.03 (-0.001) 20,210,104 8 − 0.36***(-5.43) − 46.56**(-2.10) 42.4676***(5.68)
JPN 20,200,219 8 − 0.03 (-1.43) 2.11 (0.76) 20,200,318 8 − 0.56***(-9.40) 34.27***(8.94) − 20.86***(-9.34)
NGA 20,200,209 8 − 0.01 (-1.09) − 13.82 (-0.19) 20,200,407 8 − 1.21***(-20.92) 2425.72***(19.35) − 2428.95***(-20.89)
NLD 20,210,210 8 − 0.02*(-1.91) 7.20 (0.33) 20,210,211 8 − 0.18***(-4.57) 200.01***(2.22) − 193.26***(-4.28)
IPXHY 20,200,409 8 − 0.004**(-2.53) 26.96 (1.83) 20,210,122 8 − 0.99***(-16.69) 1941.32***(15.01) − 1922.27***(-16.62)
Notes: TB, T1, and T2 are structural breakpoints. St-1 is the t statistic of LM. Bt is the coefficient of intercept term. Dt is the coefficient of the slope term. *** significance
at 1 % level; ** significance at 5 % level; * significance at 10 % level.

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D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Table 6a
Results from Ref. [51]] for GRSI.

Series Break (1) Break (2) Break (3) Break (4) Break (5) UDMax WDMax

AUS 20,200,318 20,200,522 20,200,729 20,201,027 20,210,108 3.8484 6.2233

CAN 20,200,313 20,200,618 20,200,824 20,201,102 20,210,118 542.22*** 542.22***
GBR 20,200,320 20,200,527 20,200,812 20,201,019 20,201,223 113.39*** 148.89***
JPN 20,200,127 20,200,521 20,200,728 20,201,001 20,201,120 15.59*** 30.96***
NGA 20,200,320 20,200,630 20,200,909 20,201,112 20,210,121 66.94*** 104.88***
NLD 20,200,311 20,200,529 20,200,804 20,201,009 20,201,215 808.41*** 1061.47***
USA 20,200,313 20,200,612 20,200,909 20,201,112 20,200,121 167.47*** 167.47***
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 6b
Results from Ref. [51]] for CASE.

Series Break (1) Break (2) Break (3) Break (4) Break (5) UDMax WDMax

AUS 20,200,312 20,200,702 20,200,908 20,201,111 20,210,120 24.33*** 43.28***

CAN 20,200,325 20,200,601 20,200,908 20,201,111 20,210,125 238.53*** 597.06***
GBR 20,200,324 20,200,529 20,200,908 20,201,111 20,210,120 21.16*** 52.96***
JPN 20,200,401 20,200,708 20,200,911 20,201,116 20,210,125 37.05*** 75.91***
NGA 20,200,319 20,200,526 20,200,730 20,201,005 20,201,209 133.03*** 264.12***
NLD 20,200,313 20,200,522 20,200,729 20,201,005 20,210,108 58.41*** 79.34***
USA 20,200,325 20,200,625 20,200,903 20,201,109 20,210,121 149.48*** 319.60***
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 6c
Results from Ref. [51]] for CLOSE.

Series Break (1) Break (2) Break (3) Break (4) Break (5) UDMax WDMax

BCHEY 2020/4/29 2020/7/6 2020/9/11 2020/11/16 2021/1/25 82.7979*** 165.2055***

CRNCY 2020/3/9 2020/5/15 2020/8/3 2020/11/10 2021/1/19 60.4555*** 151.3234***
ENQUF 2020/3/13 2020/5/28 2020/8/13 2020/10/21 2021/1/7 174.2849*** 174.2849***
GEGY 2020/4/20 2020/6/24 2020/8/28 2020/11/4 2021/1/12 262.7821*** 521.7434***
HBRIY 2020/3/9 2020/6/4 2020/8/18 2020/11/10 2021/1/19 60.4446*** 92.7030***
HRCXF 2020/3/9 2020/5/20 2020/9/3 2020/11/10 2021/1/19 61.9432*** 104.3951***
IPXHY 2020/3/9 2020/5/13 2020/9/10 2020/11/13 2021/1/22 19.78*** 39.17***
KOS 2020/3/10 2020/5/14 2020/8/31 2020/11/12 2021/1/21 28.06*** 70.24***
LEKOF 2020/3/10 2020/5/22 2020/8/10 2020/10/14 2020/12/18 30.13*** 75.43***
NOG.L 2020/3/9 2020/6/5 2020/8/11 2020/10/19 2021/1/5 8.0354* 15.95***
PTHRF 2020/3/10 2020/5/14 2020/7/21 2020/9/24 2020/12/30 147.34*** 176.26***
SOCLF 2020/3/10 2020/5/14 2020/7/21 2020/9/25 2020/12/11 91.84*** 182.34***
TUWOY 2020/3/10 2020/6/2 2020/8/20 2020/11/11 2021/1/20 16.74*** 41.90***
EGY 2020/3/10 2020/6/3 2020/8/26 2020/11/12 2021/1/21 31.05*** 77.72***
VET 2020/3/10 2020/5/14 2020/9/1 2020/11/16 2021/1/25 29.57*** 59.54***
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 6d
Results from Ref. [51]] for RETURN.

Series Break (1) Break (2) Break (3) Break (4) Break (5) UDMax WDMax

BCHEY 2020/3/11 2020/5/15 2020/7/23 2020/11/9 2021/1/15 3.70 9.25

CRNCY 2020/3/18 2020/6/2 2020/8/24 2020/10/28 2021/1/5 3.90 5.48
ENQUF 2020/4/3 2020/6/10 2020/8/21 2020/11/5 2021/1/13 17.56*** 17.56***
GEGY 2020/3/25 2020/6/1 2020/8/5 2020/11/4 2021/1/19 3.25 5.01
HBRIY 2020/3/16 2020/6/5 2020/9/1 2020/11/10 2021/1/19 4.22 6.82
HRCXF 2020/3/13 2020/5/19 2020/7/24 2020/10/2 2020/12/8 3.57 5.39
IPXHY 2020/3/17 2020/6/5 2020/8/25 2020/10/30 2021/1/12 10.36** 13.09
KOS 2020/3/19 2020/6/8 2020/8/26 2020/11/6 2021/1/14 7.39 10.65
LEKOF 2020/3/19 2020/5/26 2020/7/30 2020/10/21 2020/12/28 3.16 5.37
NOG.L 2020/3/20 2020/6/10 2020/8/17 2020/10/23 2021/1/4 5.38 5.38
PTHRF 2020/4/13 2020/6/26 2020/9/1 2020/11/5 2021/1/13 5.12 6.73
SOCLF 2020/3/20 2020/6/2 2020/9/4 2020/11/11 2021/1/20 9.61** 9.61
TUWOY 2020/3/16 2020/6/10 2020/8/24 2020/10/30 2021/1/19 17.80*** 17.80***
EGY 2020/3/23 2020/6/5 2020/8/12 2020/11/2 2021/1/12 7.68* 7.68
VET 2020/3/18 2020/6/8 2020/8/17 2020/10/28 2021/1/20 8.31* 13.45
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

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D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Table 7
Results of the MG panel data estimation method.

CLOSE RETURN

GRI − 0.131*** 0.040**

(-4.79) (2.43)
CASE − 0.079*** 0.057
(-4.19) (1.08)
Trend 0.0007*** 0.001*** 0.0004 0.004**
(2.64) (2.93) (0.09) (2.13)
Cons 1.415*** 1.142*** − 1.704*** − 0.401
(4.71) (4.24) (-2.85) (-1.64)
N 4663 4663 4663 4663
Wald 22.95*** 17.54*** 5.89** 1.17
Notes: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively. Z statistics are in
parentheses.

Table 8
Firm-specific long-run estimates for CLOSE (MG estimator).

Firm GRSI CASE Trend Cons

BCHEY − 0.111*** − 0.002** 3.712***

(-10.43) (-1.97) (102)
− 0.067*** − 0.009*** 3.441***
(-5.80) (-8.16) (62.67)
CRNCY − 0.206*** 0.003*** 1.912***
(-19.66) (26.20) (57.05)
− 0.068** 0.003** 1.393***
(-7.01) (13.12) (58.14)
ENQUF − 0.043*** 0.0001*** 0.317***
(-13.90) (3.93) (32.36)
− 0.032*** 0.0004*** 0.226***
(-17.81) (10.28) (50.24)
GEGYY − 0.064*** 0.006*** 1.239***
(-8.58) (6.99) (51.84)
− 0.048*** 0.001*** 1.100***
(-9.87) (9.20) (92.56)
HBRIY − 0.150*** − 0.0003*** 1.015***
(-16.89) (-3.34) (35.76)
− 0.100*** 0.0004*** 0.682***
(-17.10) (3.09) (47.12)
HRCXF − 0.043*** − 0.0003*** 0.318***
(-23.029) (-16.46) (53.00)
− 0.013*** − 0.0004*** 0.208***
(-6.47) (-10.01) (43.55)
IPXHY − 0.157*** − 0.0002** 2.520***
(-12.20) (-2.05) (72.19)
− 0.056* − 0.002 2.124***
(-3.94) (-1.21) (122.02)
KOS − 0.334*** 0.002*** 2.045***
(-26.88) (13.23) (51.41)
− 0.217*** 0.004 1.498***
(-16.46) (11.97) (40.92)
LEKOF − 0.006*** 0.0001** 0.060***
(-5.01) (2.38) (14.24)
0.003 − 0.001 0.041***
(1.26) (-0.88) (18.85)
NSTRY − 0.101*** 0.001*** 2.666***
(-10.35) (-3.09) (92.50)
− 0.102*** 0.001*** 2.562***
(-6.03) (2.73) (71.34)
PTHRF − 0.029*** 0.001*** 0.204***
(-7.69) (30.93) (17.23)
0.011*** 0.009*** 0.114***
(4.40) (15.05) (17.75)
SOCLF − 0.105*** 0.0003*** 0.589***
(-26.08) (6.74) (45.90)
− 0.052*** 0.0004*** 0.341***
(-13.78) (5.85) (36.69)
TUWOY − 0.057*** 0.0004*** 0.334***
(-16.66) (9.78) (30.46)
− 0.036*** 0.001*** 0.205***
(-15.05) (11.59) (34.81)
EGY − 0.202*** 0.002*** 1.292***
(-22.10) (20.93) (44.14)

(continued on next page)

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D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

Table 8 (continued )
Firm GRSI CASE Trend Cons

− 0.160*** 0.004*** 1.003***

(-21.74) (23.31) (49.18)
VET − 0.352*** 0.001*** 2.932***
(-21.85) (6.12) (59.13)
− 0.220*** 0.002*** 2.222***
(-10.25) (4.55) (51.02)
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

Table 9
Firm-specific long-run estimates for RETURN (MG estimator).

Firm GRSI CASE Trend Cons

BCHEY − 0.007 0.003 − 0.095

(-0.68) (1.20) (0.868)
0.007 0.002 − 0.397
(0.16) (1.02) (-0.94)
CRNCY − 0.003 − 0.014 − 6.910**
(-0.33) (-0.47) (-2.18)
− 0.003 0.018 − 2.169
(-0.33) (1.07) (-1.06)
ENQUF − 0.110 0.064 3.321
(-0.36) (0.72) (0.23)
0.020 0.015 1.193
(0.56) (0.19) (0.1)
GEGYY − 0.012 0.005 0.221
(-0.81) (1.06) (0.31)
0.0001 0.002 − 0.161
(0.01) (0.55) (-0.29)
HBRIY 0.071* − 0.011 − 2.491***
(1.81) (-0.93) (-1.33)
0.0001 0.003 − 0.239
(0.13) (0.31) (-0.16)
HRCXF 0.015 0.006 − 1.727
(0.36) (0.50) (-0.87)
− 0.001 0.010 − 1.321
(-0.17) (0.95) (-0.86)
IPXHY 0.008 0.003 − 0.784
(0.39) (1.04) (-1.32)
0.019 0.002 − 0.522
(0.86) (0.69) (-1.33)
KOS 0.059** − 0.002 − 2.867**
(2.19) (-0.33) (-2.09)
0.005 − 0.001 − 0.572
(1.41) (0.900) (-0.56)
LEKOF 0.077* − 0.005 − 2.635
(1.70) (-0.39) (-0.92)
0.788 − 0.009 0.833
(1.24) (-0.63) (0.39)
NSTRY 0.051** − 0.010 − 1.304
(2.43) (-1.53) (-1.34)
− 0.001 0.002 − 0.083
(-0.24) (0.24) (-0.09)
PTHRF − 0.001 − 0.001 0.901
(-0.02) (-0.13) (0.63)
− 0.002 0.001 0.768
(-0.50) (0.14) (0.70)
SOCLF 0.050** − 0.002 − 2.829**
(2.14) (-0.28) (-2.55)
0.001 0.007 − 1.241
(0.24) (1.24) (-1.43)
TUWOY 0.061* − 0.008 − 2.154
(1.72) (-0.73) (-1.26)
0.0003 0.005 − 0.223
(0.07) (0.50) (-0.17)
EGY 0.020 0.002 − 1.343
(0.257) (0.49) (-1.52)
0.006*** − 0.004 − 0.361
(2.66) (-0.82) (-0.55)
VET 0.060*** − 0.002 − 3.179***
(2.98) (-0.41) (-3.24)
0.010 0.003 − 1.068
(1.06) (0.50) (-1.36)
Note: ***, **, and * denote statistical significance at the 1 %, 5 %, and 10 % levels, respectively.

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D. Chen et al. Energy Strategy Reviews 38 (2021) 100696

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