Financial Industry and Oil Price Volatility: An Analysis on Central and Eastern Europe

Vrinceanu, Georgiana; Horobeț, Alexandra; Popescu, Consuela; Belaşcu, Lucian

doi:10.1007/978-3-030-82778-6_3

Cited by 1 publication

(1 citation statement)

References 18 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…To the best of our knowledge, this is the first paper that deals with multivariate volatility between energy markets and CEE stock markets. Vrinceanu et al [10] examine the exposure to the oil price risk of companies from the financial industry listed on stock exchanges from seven CEE countries from January 2010 to December 2019 using the GARCH model until December 2019 inclusive. We extend the empirical framework in terms of methodology (multivariate GARCH instead of univariate GARCH), variables (adding other energy markets, i.e., gas and electricity), sample (all industries instead of the financial industry) and period (up to December 2022, which includes recent international events).…”

Section: Introductionmentioning

confidence: 99%

Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods

Jude,

Turgeman,

Boțoc

et al. 2023

Energies

View full text Add to dashboard Cite

The objective of this paper is to study the spillover effects between energy markets and stock markets with emphasis on the significant crisis periods of the last 15 years, the period of the financial crisis that officially started in 2008, the pandemic period, generically called COVID-19, and the recent confrontation in Eastern Europe. Understanding the volatility transmission mechanisms between the energy and capital markets and also from the energy markets back and the spillover effects that result is very important. We use multivariate GARCH models to highlight a spillover effect between energy commodities and equities in Central and Eastern Europe. The highest correlations are recorded for CEE stock markets with electricity and Brent, and the lowest for CEE stock markets with gas. The biggest symmetric shocks between energy and CEE stock markets occurred during the COVID-19 pandemic. In contrast, the biggest asymmetric shocks occurred during the financial crisis (for gas) and the Ukrainian invasion (for Brent). We also find that volatility is more sensitive to its lagged values in the marketplace than it is to new information. The impact and contagion of shocks caused by the oil market are greater than those of other energy markets.

show abstract

Section: Introductionmentioning

confidence: 99%