Some remarks about the COVID-19 pandemic effect on the oil and gas sector of the brazilian economy

This work aims to study the behaviour of the Brazilian economy's oil and gas sector using the time series of risk and return of the industry, obtained by forming a portfolio of the most representative companies of the sector traded on the Brazilian stock market. In addition, the work seeks to verify how the health crisis caused by the Covid-19 pandemic affected the Brazilian economy's oil and gas and biofuels sectors. The sample comprises the shares of companies listed in the Oil, Gas and Biofuels Sector and Subsector in the Exploration, Refining and Distribution segment available in the sector classification of the primary Brazilian stock market on the B3 Stock Exchange, based in São Paulo. The primary data refer to the daily data in US dollars, covering the period from August 2017 to August 2021. The period before and during the Covid-19 pandemic health crisis had a significant impact on both the global and Brazilian economies. The results indicate that the returns of the oil and gas sector of the economy were higher than the average market return given by the Ibovespa index. A different inference can be made for volatility. Regarding the most significant period of the health crisis caused by the Covid-19 pandemic, the oil and gas sector exhibited higher volatility than the market, as measured by heteroscedastic conditional models.