Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period

Katsampoxakis, Ioannis; Christopoulos, Apostolos; Kalantonis, Petros; Nastas, Vasileios

doi:10.3390/en15114090

Cited by 23 publications

(10 citation statements)

References 21 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Secondly, considering China's status as the world's largest energy importer and the COVID-19 pandemic's origin, selecting China as the sample for examining this issue ofers a more representative and insightful approach. Tis not only complements existing literature (Bashir [8]; Katsampoxakis et al [9]; Managi et al [10]; Refai et al [11]; Jareño et al [12]) but also broadens the scope of the ongoing discourse on this subject.…”

Section: Introductionsupporting

confidence: 66%

Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval

Teng

2023

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize the dynamic interplay between stock market returns and crude oil prices, with a particular focus on China, factoring in the second-moment effect of volatility spillover. Employing an EGARCH process to model the leverage impact on returns’ volatility, the analysis utilizes daily data spanning from January 30, 2020, to August 30, 2022, and incorporates causality-in-mean and variance assessments. Empirical findings indicate that the QDII-LOF benchmark, representing oil prices, exerts a substantial influence on stock market returns. Nevertheless, the complete sample reveals no discernible spillover effects attributable to oil price fluctuations. These insights imply that the Chinese government’s actions should carefully weigh the ramifications of spillovers. Concurrently, investors are advised to attentively monitor the crude oil market when making portfolio allocation decisions.

show abstract

Section: Introductionsupporting

confidence: 66%

Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval

Teng

2023

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

show abstract

“…According to Atif et al ( 2022 ), where both importing and exporting countries are inspected, a symmetric causality is observed. Katsampoxakis et al ( 2022 ) highlighted that the market returns of oil-importing countries are found to cause oil prices with a unidirectional link. This was observed in the OBX index during the pre-COVID-19 period, in DAX and CAC40 during COVID-19 but before the vaccination campaign, and in CAC40, OBX, and RTS indexes after the pandemic.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

“…A different strand of literature focused on causality analysis. Katsampoxakis et al ( 2022 ) investigated the link between Brent oil prices and importer and exporter European national stock indices (RTS, OBX, CAC40, DAX), analyzing only the COVID-19 pandemic period (2019–2020). Applying a VAR model and Granger causality tests, changes in the relationship from pre- and post-pandemic period are highlighted.…”

Section: Overview Of the Literaturementioning

confidence: 99%

On the relationship between oil market and European stock returns

Magazzino,

Shahbaz,

Adamo

2023

Environ Sci Pollut Res

View full text Add to dashboard Cite

This paper investigates the dynamic relationship between the oil market and European stock market returns using monthly data from May 2007 to April 2022 for 27 European Union member countries. A novel approach is adopted by using the time-varying Granger causality test and the structural vector auto-regression model to examine the causal links. Empirical results reveal strong evidence of time-varying causation between the variables, considering the oil market from both the supply-side and demand-side perspectives. In light of these findings, numerous policy considerations emerge, including refining risk management strategies for investors, reformulating economic and energy policies, the potential impact on monetary policy decisions, the need for ad hoc market regulations, facilitating investor education initiatives, promoting international cooperation, and advancing the transition to sustainable energy sources.

show abstract

“…These studies highlight the importance of understanding the relationship between oil prices and stock markets for effective portfolio management and the influence of external factors like geopolitical and financial crises on market performance. Katsampoxakis et al [54] studied the interrelations between stock returns and crude oil prices for European oil-producing and -importing countries using a vector autoregression (VAR) model to estimate the stock market responses to changes in oil prices. The study showed that there is no interdependence in steady periods, but the causality from stock markets to oil prices increases in highly volatile periods.…”

Section: Oil and Various Factorsmentioning

confidence: 99%

Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis

Kim,

Choi

2024

Energies

View full text Add to dashboard Cite

Accurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices and volatility. We used various machine learning models to forecast oil forward prices and volatility based on their superior predictive power. Furthermore, we employed the SHAP framework to analyze individual features to identify their contributions in terms of the prediction. According to our findings, factors contributing to oil forward prices and volatility can be summarized into four key focal outcomes. First, it was confirmed that soybean forward pricing overwhelmingly contributes to oil forward pricing predictions. Second, the SSEC is the second-largest contributor to oil forward pricing predictions, surpassing the contributions of the S&P 500 or oil volatility. Third, the contribution of oil forward prices is the highest in predicting oil volatility. Lastly, the contribution of the DXY significantly influences both oil forward price and volatility predictions, with a particularly notable impact on oil volatility predictions. In summary, through the SHAP framework, we identified that soybean forward prices, the SSEC, oil volatility, and the DXY are the primary contributors to oil forward price predictions, while oil forward prices, the S&P 500, and the DXY are the main contributors to oil volatility predictions. These research findings provide valuable insights into the most-influential factors for predicting oil forward prices and oil volatility, laying the foundation for informed investment decisions and robust risk-management strategies.

show abstract

Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period

Cited by 23 publications

References 21 publications

Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval

Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval

On the relationship between oil market and European stock returns

Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis

Contact Info

Product

Resources

About