Uncertainty Due to Infectious Diseases and Energy Market Volatility

Abstract

Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.

How do equity markets react to COVID-19? Evidence from emerging and developed countries

“…Using hourly data, Devpura and Narayan (2020) show that COVID-19 cases and deaths led to a significantly greater daily volatility in the oil process. Salisu and Adediran (2020) find that the equity market volatility tracker of COVID-19 ( Baker, Bloom, Davis, Terry et al, 2020 ) is a good predictor for energy market volatility. Qin, Zhang, and Su (2020) find that the COVID-19 pandemic index negatively affects the oil prices due to lower demand during the infection period of 2019 and early 2020.…”

Did Bubble Activity Intensify During COVID-19?

“…In closing, we highlight that there is scarce literature on the exchange rate-COVID-19 nexus despite a large and growing literature on COVID-19 (see Al-Awadhi et al, 2020;Ertuğrul et al, 2020;Fu & Shen, 2020;Gil-Alana & Monge, 2020;Gu et al, 2020;Haroon & Rizvi, 2020a, 2020bHuang & Zheng, 2020;Iyke, 2020aIyke, , 2020bLiu et al, 2020;Narayan, 2020;Qin et al, 2020;A. Salisu & Adediran, 2020;A.A.…”

External Debt, Institutional Quality and Economic Growth

“…In this regard, understanding the impact of external debt on growth is important. In addition, we 4 A growing number of studies show the novel coronavirus outbreak made markets very volatile and disrupted global economic activity in various ways (see, e.g., Devpura and Narayan, 2020;Fu and Shen, 2020;Haroon and Rizvi, 2020;Iyke, 2020a,b;Mishra et al, 2020;Narayan, 2020;Phan and Narayan, 2020;Salisu and Adediran, 2020;Salisu and and Akanni, 2020;Vidya and Prabheesh, 2020).…”