  We provide a new investigation of the relationship between oil and stock
prices in the context of the outbreak of the new coronavirus crisis.
Specifically, we assess to what extent the uncertainty induced by COVID-19
affects the interaction between oil and the United States (US) stock markets.
To this end, we use a wavelet approach and daily data from February 18, 2020 to
August 15, 2020. We identify the lead-lag relationship between oil and stock
prices, and the intensity of this relationship at different frequency cycles
and moments in time. Our unique findings show that co-movements between oil and
stock prices manifest at 3-5-day cycle and are stronger in the first part of
March and the second part of April 2020, when oil prices are leading stock
prices. The partial wavelet coherence analysis, controlling for the effect of
COVID-19 and US economic policy-induced uncertainty, reveals that the
coronavirus crisis amplifies the shock propagation between oil and stock
prices.
