COVID-19 and the Energy Price Volatility

被引:27
|
作者
Christopoulos, Apostolos G. [1 ]
Kalantonis, Petros [2 ]
Katsampoxakis, Ioannis [3 ]
Vergos, Konstantinos [4 ]
机构
[1] Univ Aegean, Dept Business Adm, Mitilini 81100, Greece
[2] Univ West Attica, Dept Tourism Management, Athens 12244, Greece
[3] Univ Aegean, Dept Stat & Actuarial Financial Math, Mitilini 81100, Greece
[4] Univ Portsmouth, Dept Econ & Finance, Portsmouth PO1 3DE, Hants, England
关键词
COVID-19; pandemic; energy market volatility; announcements; uncertainty; deaths; infections;
D O I
10.3390/en14206496
中图分类号
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号
0807 ; 0820 ;
摘要
The challenges of the world economy and their societies, after the outbreak of the COVID-19 pandemic have led policy-makers to seek for effective solutions. This paper examines the oil price volatility response to the COVID-19 pandemic and stock market volatility using daily data. A general econometric panel model is applied to investigate the relationship between COVID-19 infection and death announcements with oil price volatility. The paper uses data from six geographical zones, Europe, Africa, Asia, North America, South America, and Oceania for the period 21 January 2020 until 13 May 2021 and the empirical findings show that COVID-19 deaths affected oil volatility significantly. This conclusion is confirmed by a second stage analysis applied separately for each geographical area. The only geographical area where the existence of correlation is not confirmed between the rate of increase in deaths and the volatility of the price of crude oil is Asia. The conclusions of this study clearly suggest that COVID-19 is a new risk component on top of economic and market uncertainty that affects oil prices and volatility. Overall, our results are useful for policy-makers, especially in the case of a new wave of infection and deaths in the future.
引用
收藏
页数:15
相关论文
共 50 条
  • [1] The Impact of COVID-19 on Firm Stock Price Volatility
    Chamzallari, Marinela
    Chantziaras, Antonios
    Grose, Christos
    BUSINESS DEVELOPMENT AND ECONOMIC GOVERNANCE IN SOUTHEASTERN EUROPE, 2022, : 433 - 450
  • [2] The determinants of the COVID-19 related stock price overreaction and volatility
    Sun, Yiyang Val
    Liu, Bin
    Prodromou, Tina
    STUDIES IN ECONOMICS AND FINANCE, 2022, 39 (01) : 125 - 149
  • [3] The impact of COVID-19 on price transmission and price volatility in the Canadian beef supply chain
    Zheng, Yanan
    An, Henry
    Yang, Meng
    Qiu, Feng
    CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS-REVUE CANADIENNE D AGROECONOMIE, 2024, 72 (03): : 389 - 406
  • [4] Price reaction, volatility timing and funds' performance during Covid-19
    Mirza, Nawazish
    Naqvi, Bushra
    Rahat, Birjees
    Rizvi, Syed Kumail Abbas
    FINANCE RESEARCH LETTERS, 2020, 36
  • [5] Gold price volatility and forecasting evaluations with the impact of COVID-19 pandemic
    Kinnam, Alwin Chong
    Bin, Angie Loh Yan
    Cheong, Chin Wen
    Min, Lim
    Hui, Gloria Teng Ai
    JOURNAL OF STATISTICS AND MANAGEMENT SYSTEMS, 2023, 26 (08) : 1867 - 1882
  • [6] Timing differences in the impact of Covid-19 on price volatility between assets
    Kanamura, Takashi
    FINANCE RESEARCH LETTERS, 2022, 46
  • [7] Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic
    De Blasis, Riccardo
    Petroni, Filippo
    ENERGIES, 2021, 14 (09)
  • [8] Testing oil price volatility during Covid-19: Global economic impact
    Chang, Lei
    Baloch, Zulfiqar Ali
    Saydaliev, Hayot Berk
    Hyder, Mansoor
    Dilanchiev, Azer
    RESOURCES POLICY, 2022, 78
  • [9] COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets
    Demir, Ender
    Kizys, Renatas
    Rouatbi, Wael
    Zaremba, Adam
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2021, 14 (12)
  • [10] Exploring volatility of carbon price in European Union due to COVID-19 pandemic
    Dong, Feng
    Gao, Yujin
    Li, Yangfan
    Zhu, Jiao
    Hu, Mengyue
    Zhang, Xiaoyun
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2022, 29 (06) : 8269 - 8280