Journal article 39 views
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
Taimur Sharif,
Jihene Ghouli,
Ahmed Bouteska,
Mohammad Abedin
Economic Analysis and Policy
Swansea University Author: Mohammad Abedin
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DOI (Published version): 10.1016/j.eap.2024.08.008
Abstract
This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity ind...
Published in: | Economic Analysis and Policy |
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ISSN: | 0313-5926 |
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Elsevier BV
2024
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URI: | https://cronfa.swan.ac.uk/Record/cronfa67434 |
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v2 67434 2024-08-19 The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2024-08-19 CBAE This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity indexes in the US. Nevertheless, the magnitude of this impact varies across different volatility regimes. Notably, the WTI crude oil exhibits more substantial effects during periods of lower volatility characterised by fewer COVID-19 cases, potentially attributed to market control measures. In contrast, the Brent crude oil displays a more pronounced impact of the COVID-19 during turbulent periods, attributed to the market's openness and the prevalence of speculative participants. The study suggests that participants in the Brent market, driven by a desire to capitalise on price differentials, intensify their activities during turbulent periods, contributing to increased volatility during successive waves of high COVID-19 cases. The observed structural differences between the WTI and Brent commodity markets carry significant policy implications for investors in the energy sector. Journal Article Economic Analysis and Policy 0 Elsevier BV 0313-5926 COVID-19 pandemic; Crude oil indexes; Market volatility, GARCH 17 8 2024 2024-08-17 10.1016/j.eap.2024.08.008 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-08-19T11:48:52.8790795 2024-08-19T10:44:54.7377198 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Taimur Sharif 1 Jihene Ghouli 2 Ahmed Bouteska 3 Mohammad Abedin 4 |
title |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
spellingShingle |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets Mohammad Abedin |
title_short |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
title_full |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
title_fullStr |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
title_full_unstemmed |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
title_sort |
The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets |
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4ed8c020eae0c9bec4f5d9495d86d415 |
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4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin |
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Mohammad Abedin |
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Taimur Sharif Jihene Ghouli Ahmed Bouteska Mohammad Abedin |
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Economic Analysis and Policy |
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10.1016/j.eap.2024.08.008 |
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description |
This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity indexes in the US. Nevertheless, the magnitude of this impact varies across different volatility regimes. Notably, the WTI crude oil exhibits more substantial effects during periods of lower volatility characterised by fewer COVID-19 cases, potentially attributed to market control measures. In contrast, the Brent crude oil displays a more pronounced impact of the COVID-19 during turbulent periods, attributed to the market's openness and the prevalence of speculative participants. The study suggests that participants in the Brent market, driven by a desire to capitalise on price differentials, intensify their activities during turbulent periods, contributing to increased volatility during successive waves of high COVID-19 cases. The observed structural differences between the WTI and Brent commodity markets carry significant policy implications for investors in the energy sector. |
published_date |
2024-08-17T11:48:52Z |
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1807812690878398464 |
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11.024221 |