Addressing COP21 using a stock and oil market integration index

Batten, Jonathan A.; Kinateder, Harald; Szilagyi, Peter G.; Wagner, Niklas

doi:10.1016/j.enpol.2018.01.048

Cited by 25 publications

(13 citation statements)

References 33 publications

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“…Similar findings were reported for international stock-oil markets (Batten et al 2018). They reported three time variables to denote the period from January 1990 to August 1997 (Asian Crisis in July 1997); August 1997 to October 2001 (effect of 11 September 2001); November 2001 until September 2008, (Lehman default on 15 September 2008).…”

Section: R E a L V S A B S O L U T E B E T A -C O E F F I C I E N Tsupporting

confidence: 69%

“…They reported three time variables to denote the period from January 1990 to August 1997 (Asian Crisis in July 1997); August 1997 to October 2001 (effect of 11 September 2001); November 2001 until September 2008, (Lehman default on 15 September 2008). In each time variable, correlation increased during the crisis period and vice-versa (Batten et al 2018). However, the lack of inter-industry correlation between the R 2 s of large firms and the R 2 s of size and industry-matched portfolios of smaller firms recommends that the explanatory power of universal factors may be same from one industry to another (Roll 1988).…”

Section: R E a L V S A B S O L U T E B E T A -C O E F F I C I E N Tmentioning

confidence: 96%

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Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution

Akter

Nobi

2018

JRFM

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In this work, the financial data of 377 stocks of Standard & Poor's 500 Index (S&P 500) from the years 1998-2012 with a 250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index and stock's prices and correlation among stock's prices increased remarkably and decreased during the non-crisis period. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during crisis year in detail and found that the distribution behaviors of stock return prices has a better long-term effect that allows predictions of near-future market behavior than realized volatility of stock returns. Our detailed statistical analysis provides a valuable guideline for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

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Section: R E a L V S A B S O L U T E B E T A -C O E F F I C I E N Tsupporting

confidence: 69%

Section: R E a L V S A B S O L U T E B E T A -C O E F F I C I E N Tmentioning

confidence: 96%

Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution

Akter

Nobi

2018

JRFM

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“…We believe that there is more scope of research on COVID–19 and oil price factor for the industries of developed versus emerging/frontier countries and/or oil-importing versus oil-exporting countries. The time-varying comovement between oil price changes and industry stock returns during the pandemic provides fruitful insights to the literature on management of energy risk ( Batten et al, 2018 ). It appears that hedging strategies designed for normal times should be re-considered in health-related crises and the associated economic turbulence.…”

Section: Discussionmentioning

confidence: 99%

“…3 Our study contributes to the literature by investigating the impact of the COVID−19 pandemic on the relationship between changes in oil price and financial and non-financial stock returns across regions around the world. 4 Our paper also speaks to the important literature ( Batten, Kinateder, Szilagyi and Wagner, 2017 , 2018 , 2019 ) on the implication of the relation between oil price and stock prices in risk management, asset pricing and portfolio theory. The comovement between oil price changes and stock returns, is a significant factor that helps decide on how to hedge energy risk.…”

Section: Introductionmentioning

confidence: 92%

COVID−19 and oil price risk exposure

Akhtaruzzaman

Boubaker

Chiah

et al. 2021

Finance Research Letters

123

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Highlights Oil supplier industries are associated with the highest positive exposure to oil price risk Oil user industries exhibit negative exposure to oil price risk COVID–19 appears to moderate oil price risk exposure of industries Oil price risk exposure of industries appears to be similar across regions Results are robust to alternative asset pricing models

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“…In this regard, few pioneering studies have been carried out to assess the economic and financial implications of COP21. Batten et al (2018) show that oil investors can offset the oil price risk by holding a diversified global stock-oil portfolio with weights adjusted according to the implementation process of COP21. Murphy and McDonnell (2017) study the existence of carbon leakage in the co-firing biomass in Ireland and show that a significant carbon leakage occurs due to relying on imported biomass that has higher GHG profile and that under COP21 scenarios to reduce the GHG emission from imported biomass by 24 per cent.…”

Section: Literature Review and Rationalementioning

confidence: 99%

European emission allowance and equity markets: evidence from further trading phases

Harasheh

Amaduzzi

2019

SEF

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Purpose This paper aims to investigate the value relevance of the European Emission Allowance (EUA) return and volatility on the equity value of the top listed European Power Generation Firms for the three trading phases of the European Emission Trading Scheme. Design/methodology/approach The authors use the multifactor financial market model over the period 2005-2016 on daily basis for the return relevance relationship, whereas time series models such as autoregression moving average and generalized autoregressive conditional heteroskedasticity are applied on a weighted average portfolio of the sample firms to test serial correlation and volatility of returns. Findings The findings are novel in which a positive and significant relevance of EUA return on equity return is shown; however, a vanishing effect is seen as one moves to further trading phases. Another remarkable finding is that the return relationship remains constant until a certain level in EUA price then inverts. Finally, the authors present that EUA is considered a systematic factor as firm and country-specific features are not statistically significant. Practical implications At policy level, these findings signal policymakers for an appropriate design of the future trading phases in which they achieve the balance between public interests, as climate risk mitigation by reducing emissions, and the private interests of the market players to support innovative changes. Originality/value To the authors’ knowledge, this study would be the first to offer recent and comprehensive findings on the economic and financial implications of the European Emission Trading Scheme for the three trading phases. Additionally, the research offers time series robustness check besides the standard regression analysis and shows that there is an optimal EUA price that triggers polluters’ decision on emission and generation.

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Addressing COP21 using a stock and oil market integration index

Cited by 25 publications

References 33 publications

Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution

Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution

COVID−19 and oil price risk exposure

European emission allowance and equity markets: evidence from further trading phases

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