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Abstract This study examines the effect of COVID-19 pandemic on the efficiency of oil markets from 2nd February 2020 to 4th August 2021. By relying on dynamic conditional correlation GARCH and Wavelet coherence techniques, we able to provide correlations between the variables across time and frequency domains. Our empirical findings point to significant yet weak correlations between COVID-19 recovery/death rates for the time period extending from early February to early May even though we observe strong correlations between WTI prices and COVID-19 health statistics in mid-April. Moreover, during this identified time period, the length of frequency cycles within the correlations decreases from 16 days to 8 days. Altogether, these findings imply that oil markets were inefficient between February and early May and have since turned market efficient for the remaining duration of the pandemic.  Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-01-22 How to Cite Moyo, C., Anyikwa, I., & Phiri, A. (2023). The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?. International Journal of Energy Economics and Policy, 13(1), 118–127. https://doi.org/10.32479/ijeep.13453 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 1 (2023) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Hlalefang Khobai, Nwabisa Kolisi, Clement Moyo, Izunna Anyikwa, Siyasanga Dingela, Renewable Energy Consumption and Unemployment in South Africa , International Journal of Energy Economics and Policy: Vol. 10 No. 2 (2020) Tafadzwa Ruzive, Thando Mkhombo, Simbarashe Mhaka, Nomahlubi Mavikela, Andrew Phiri, Electricity Intensity and Unemployment in South Africa: A Quantile Regression Analysis , International Journal of Energy Economics and Policy: Vol. 9 No. 1 (2019) Bothwell Nyoni, Andrew Phiri, Renewable Energy - Economic Growth Nexus in South Africa: Linear, Nonlinear or Non-existent? , International Journal of Energy Economics and Policy: Vol. 10 No. 6 (2020) Poppy Dyasi, Andrew Phiri, A Sectoral Approach to the Electricity-growth Nexus in the Eastern Cape Province of South Africa , International Journal of Energy Economics and Policy: Vol. 9 No. 6 (2019) B. Mapapu, Andrew Phiri, Carbon Emissions and Economic Growth in South Africa: A Quantile Regresison Analysis , International Journal of Energy Economics and Policy: Vol. 8 No. 1 (2018) Bothwell Nyoni, Andrew Phiri, The Electricity-growth Nexus in South Africa: Evidence from Asymmetric Cointegration and Co-feature Analysis , International Journal of Energy Economics and Policy: Vol. 8 No. 6 (2018) Make a Submission Make a Submission Dergi Kapağı

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