4.7 Article

The Russia-Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas

Related references

Note: Only part of the references are listed.
Article Business, Finance

COVID-19 and stock returns: Evidence from the Markov switching dependence approach

Ahmed Bouteska et al.

Summary: This paper investigates the relationship between the COVID-19 pandemic and the US stock markets, finding that the daily reported COVID-19 cases and cumulative COVID-19 deaths have asymmetric lower and upper tail dependence with the stock markets, with significant time-varying trends. Additionally, there are significant regime-switching behaviors in the tail dependence between the stock markets and the pandemic, with higher probabilities of switching in the higher tail dependence stage after December 1, 2019. These findings have important implications for market players and policymakers due to the significant financial market reaction to unexpected emergence of transmittable respiratory diseases or natural calamities.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2023)

Article Business, Finance

The impact of the Russian-Ukrainian war on global financial markets

Marwan Izzeldin et al.

Summary: In this paper, we analyze the response of stock markets and commodities to the Russian invasion of Ukraine, comparing it to the Covid-19 pandemic and the 2008 global financial crisis. Using a Markov-switching HAR model, we measure synchronization, duration, and intensity of the events. Overall, stock markets and commodities respond most rapidly to the Russian invasion, with post-invasion crisis intensity being smaller than the other two events. Wheat and nickel are the most affected commodities due to the prominent exporter status of their respective countries.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2023)

Article Business, Finance

Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

Miklesh Prasad Yadav et al.

Summary: This study examines the spillover effects of energy commodities on the Shanghai stock exchange and European stock market, and explores the potential risks transmission and portfolio diversification opportunities. The research analyzes the daily spot prices of carbon emission, natural gas, and crude oil from December 16, 2010, to December 29, 2022, using Granger causality test, dynamic conditional correlation (DCC), Diebold-Yilmaz (2012), and Barunik-Krehlic (2017) models. The findings indicate higher volatility and stronger connectedness in the long run. Moreover, natural gas is identified as the major contributor to shocks, while crude oil is the largest receiver of shocks in the network. The results suggest that investing in energy commodities in the short run rather than the long run can achieve efficient portfolio diversification. This study is expected to have practical implications for portfolio managers, investors, and market regulators by recommending the inclusion of energy stocks for effective risk diversification.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2023)

Article Business, Finance

How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices

Renata Karkowska et al.

Summary: The unexpected Russian invasion of Ukraine increased uncertainty about access to fossil fuels. Renewable energy can provide new sources and investment opportunities in response to energy security and climate change challenges. This research examines the volatility spillovers between dirty and clean energy markets and global stock indices, focusing on rising geopolitical risks. The study finds that clean energy generally has lower risk than equity markets, but hedging renewable energy assets is more expensive than non-renewable energy assets.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2023)

Article Business, Finance

Stock market volatility and the COVID-19 reproductive number

Fernando Diaz et al.

Summary: This study analyzes the impact of news about the reproductive number R on stock market volatility worldwide, finding that when R is greater than one, it has a significant positive effect on volatility. This result holds even after controlling for government interventions and conducting various robustness checks.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2022)

Article Economics

Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions

Jiqian Wang et al.

Summary: Existing studies use external drivers to improve the accuracy of volatility forecasting for natural gas, meanwhile there is a lack of comprehensive analysis on the factors driving the volatility of clean energy stock indices. This paper examines the ability of uncertainty indices and global economic conditions to predict the realized volatility of clean energy and natural gas markets, and finds that both can successfully predict clean energy realized volatility.

ENERGY ECONOMICS (2022)

Article Economics

The impact of the Ukraine-Russia war on world stock market returns

Whelsy Boungou et al.

Summary: Using stock returns data from 94 countries globally between 22 January and 24 March 2022, this study finds a negative relationship between the Ukraine-Russia war and world stock market returns, providing the first empirical evidence for this.

ECONOMICS LETTERS (2022)

Article Environmental Studies

Quantile Granger causality between US stock market indices and precious metal prices

Zouheir Mighri et al.

Summary: This paper examines the dynamic causal relationships between US stock market indices and precious metal prices, and finds that the relationship is dependent on quantiles. The results show that there is bi-directional Granger causality between gold prices and US stock market indices, as well as between silver prices and changes in US stock market indices at extreme lower quantiles. Additionally, there is evidence of bi-directional Granger causality between changes in US stock market indices and changes in platinum prices across all tails of the distribution.

RESOURCES POLICY (2022)

Article Green & Sustainable Science & Technology

Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis

Yanran Hong et al.

Summary: This paper investigates the dynamic asymmetric impact of equity market uncertainty on the energy market. The results show that negative equity market uncertainty shocks are the primary driving factors of positive oil shocks, while positive equity market uncertainty shocks can affect negative oil shocks. The study also finds that extreme events may lead to structural changes in the relationships.

RENEWABLE ENERGY (2022)

Article Business, Finance

The Russia-Ukraine conflict and volatility risk of commodity markets

Yi Fang et al.

Summary: The intensification of the Russia-Ukraine conflict significantly increases the volatility of agricultural, metal, and energy markets. The conflict affects these markets through both economic and financial channels, with commodities exported by Russia having higher volatility risk. Investor panic and the monetary policy of major central banks amplify the impact of the Russia-Ukraine conflict.

FINANCE RESEARCH LETTERS (2022)

Article Business, Finance

The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities

Gaye-Del Lo et al.

Summary: This study examines the influence of the Russo-Ukrainian war on financial markets, revealing significant reactions and effects on asset prices and volatility. It also found that dependence on Russian commodities intensifies instability and reduces stock returns. The research has implications for diversification strategies in international exchanges.

FINANCE RESEARCH LETTERS (2022)

Letter Public, Environmental & Occupational Health

Russo-Ukrainian war: An unexpected event during the COVID-19 pandemic

Om Prakash Choudhary et al.

TRAVEL MEDICINE AND INFECTIOUS DISEASE (2022)

Article Business

An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis

Le Thanh Ha et al.

Summary: This study employs a time-varying parameter vector autoregression (TVP-VAR) and an extended joint connectedness approach to analyze the interlinkages between the crude oil, gold, stock, and cryptocurrency markets. The results indicate that health shocks have an impact on the system-wide dynamic connectedness, with a peak during the COVID-19 pandemic. The gold and stock markets consistently act as net receivers of spillover shocks, while crude oil switches from being a critical net transmitter to an important net receiver during the pandemic. The cryptocurrency market has a negligible role in the studied network, and its net receiving and transmitting status varies over time.

TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE (2022)

Article Business, Finance

Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries

Alanoud Al-Maadid et al.

Summary: This study investigates the impact of COVID-19-related news on stock markets in GCC countries using machine learning techniques. The results show that the stock markets in UAE, Qatar, Saudi Arabia, and Oman were influenced by coronavirus news, while no impact was observed in Bahrain. Furthermore, the affected markets were influenced differently in terms of the quantities and types of news.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2022)

Article Business, Finance

Volatility Spillover Effects of the US, European and Chinese Financial Markets in the Context of the Russia-Ukraine Conflict

Mohamed Beraich et al.

Summary: The present study examines the volatility spillover effects in the international financial markets during the Russia-Ukraine conflict, using the DY methodology. The findings indicate that the volatility spillover index increased during the war period but remained insignificant compared to the impact of the COVID-19 pandemic. The study also reveals varying levels of dependence and spillover effects between the European, American, and Chinese stock markets before and during the conflict.

INTERNATIONAL JOURNAL OF FINANCIAL STUDIES (2022)

Article Business, Finance

Volatility Spillover Effects in the Moroccan Interbank Sector before and during the COVID-19 Crisis

Mohamed Beraich et al.

Summary: The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis. The empirical results indicate that the volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover effects between the six publicly traded Moroccan banks and the Moroccan banking sector stock index before and during the COVID-19 pandemic crisis.

RISKS (2022)

Article Business

The Dynamic Correlation between China's Policy Uncertainty and the Crude Oil Market: A Time-varying Analysis

En-Ze Wang et al.

Summary: This research examines the dynamic correlation between China's policy uncertainty and crude oil markets. The results show that the correlation is time-varying and non-linear. The independence between policy uncertainty and oil returns varies more constantly, while the interaction between policy uncertainty and global oil production varies at a lower frequency. The different types of policy uncertainty also have different associations with global oil returns.

EMERGING MARKETS FINANCE AND TRADE (2022)

Article Environmental Studies

Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks

Rabeh Khalfaoui et al.

Summary: The study found a low significant dependency between energy and nonenergy commodity markets across different frequencies and quantiles during the period from January 1960 to October 2019. Some nonenergy commodity markets were also found to have a neutral relationship with global energy commodity markets.

RESOURCES POLICY (2021)

Article Economics

Impacts of COVID-19 pandemic on the global energy system and the shift progress to renewable energy: Opportunities, challenges, and policy implications

Anh Tuan Hoang et al.

Summary: The COVID-19 pandemic has had significant impacts on various industries worldwide, especially on the energy sector. Developing sustainable resources and renewable energy infrastructure is seen as a promising and effective strategy in response to this challenge. Short-term policy priorities should be identified, while mid-term and long-term action plans should be formulated in achieving a more sustainable energy future.

ENERGY POLICY (2021)

Article Economics

The information content of uncertainty indices for natural gas futures volatility forecasting

Chao Liang et al.

Summary: This study investigates the impact of five uncertainty indices on US natural gas futures volatility forecasting within the GARCH-MIDAS framework. The in-sample results show that most uncertainty indices have a significant effect on natural gas futures volatility, with geopolitical risk and equity market volatility indices containing the most useful information. Out-of-sample predictions demonstrate that the EMV index exhibits superior predictive ability during certain special periods, such as post-crisis, expansions, and low volatility.

JOURNAL OF FORECASTING (2021)

Article Business, Finance

Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany

Wenting Zhang et al.

Summary: The study reveals that the impact of the COVID-19 pandemic on the crude oil and stock markets mainly manifests as short-term return spillover and long-term volatility spillover, resulting in significant risks and losses exceeding those of the 2008 global financial crisis, with uncertainty persisting in both the short and long term.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2021)

Article Environmental Sciences

COVID-19 outbreak: Migration, effects on society, global environment and prevention

Indranil Chakraborty et al.

SCIENCE OF THE TOTAL ENVIRONMENT (2020)

Article Business, Finance

Predicting stock returns in the presence of COVID-19 pandemic: The role of health news

Afees A. Salisu et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)

Article Business, Finance

COVID-19 and stock market volatility: An industry level analysis

Seungho Baek et al.

FINANCE RESEARCH LETTERS (2020)

Article Business, Finance

Temporal Aggregation and Long Memory for Asset Price Volatility

Pierre Perron et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2020)

Article Business, Finance

COVID-19: Media coverage and financial markets behavior-A sectoral inquiry

Omair Haroon et al.

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE (2020)

Article Business, Finance

COVID-19 and finance: Agendas for future research

John W. Goodell

FINANCE RESEARCH LETTERS (2020)

Article Mathematics, Interdisciplinary Applications

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

Richard T. Baillie et al.

JOURNAL OF TIME SERIES ANALYSIS (2019)

Article Environmental Studies

Volatility spillovers and hedging: Evidence from Asian oil-importing countries

Suleman Sarwar et al.

RESOURCES POLICY (2019)

Article Economics

Geopolitical risk and oil volatility: A new insight

Jing Liu et al.

ENERGY ECONOMICS (2019)

Article Multidisciplinary Sciences

A dataset on tail risk of commodities markets

Robert J. Powell et al.

DATA IN BRIEF (2017)

Article Business, Finance

Oil shocks, policy uncertainty and stock market return

Wensheng Kang et al.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2013)

Article Economics

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold et al.

INTERNATIONAL JOURNAL OF FORECASTING (2012)

Article Business, Finance

A search for long-range dependence and chaotic structure in Indian stock market

Ritesh Kumar Mishra et al.

REVIEW OF FINANCIAL ECONOMICS (2011)

Article Business, Finance

Post-colonial Finance

S. Maheswaran et al.

JOURNAL OF EMERGING MARKET FINANCE (2011)

Article Business, Finance

Long memory in volatility and trading volume

Jeff Fleming et al.

JOURNAL OF BANKING & FINANCE (2011)

Article Business, Finance

Long memory versus structural breaks in modeling and forecasting realized volatility

Kyongwook Choi et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2010)

Review Economics

Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility

Torben G. Andersen et al.

REVIEW OF ECONOMICS AND STATISTICS (2007)

Article Business, Finance

Long memory and structural changes in the forward discount: An empirical investigation

Kyongwook Choi et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2007)

Article Economics

Modeling and forecasting realized volatility

TG Andersen et al.

ECONOMETRICA (2003)

Article Economics

Long memory and regime switching

FX Diebold et al.

JOURNAL OF ECONOMETRICS (2001)

Article Economics

The memory of stochastic volatility models

PM Robinson

JOURNAL OF ECONOMETRICS (2001)

Article Business, Finance

A model for stock return distribution

M Linden

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2001)