ENERGY COMMODITY PRICE RESPONSE TO COVID-19: IMPACT OF EPIDEMIC STATUS, GOVERNMENT POLICY, AND STOCK MARKET VOLATILITY

The outbreak of the COVID-19 pandemic has hit global financial markets, including energy commodities. aim paper is to examine reaction commodity market pandemic, particularly epidemic status, stringency government anti-COVID-19 policy, and stock volatility. We use daily data on S&P GSCI Energy index, number new confirmed cases, self-developed Global Stringency Index, VIX index. research covers period from January 2 September 30, 2020, i.e. first phase pandemic. Based a structural vector autoregressive model we observe significant negative market's changes in Moreover, results imply that increase Index leads decline index but only third day after shock. reveal no impact status prices.Keywords: commodities, pandemic; volatility; Index; policy; modelJEL Classifications: G01, G12, G15, H12, Q41DOI: https://doi.org/10.32479/ijeep.11025