The effects of oil price exposure of oil-gas sectors of the countries
largely affected by Covid-19 is analyzed with a time-varying parameter model.
Estimation results suggest that market risk of all countries' oil-gas sector excluding
China has increased remarkably compared to the period before the spread of the virus.
Positive and significant effects of the oil price factor become negative and significant
for most countries during the pandemic. The results further indicate that the oil-gas
sector of China is not affected by the outbreak of Covid-19, even though the virus has
first appeared in that country