Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

Lee, Chi‐Chuan; Lien, Donald

doi:10.1002/fut.21976

Cited by 41 publications

(15 citation statements)

References 139 publications

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“…As Assaf and Tsionas (2018) exhibit, the QR approach has lately developed into an attractive alternative to OLS in tourism-associated studies. Unlike the OLS approach, QR assists in estimating the responses of a dependent variable at diverse quantiles, offering evidence beyond the mean of the data (Lee et al, 2019; Lee and Chen, 2020b). Compared to OLS, the QR model provides a comparatively comprehensive explanation of the conditional average for extreme cases in the samples.…”

Section: Research Background and Hypotheses Developmentmentioning

confidence: 99%

The impact of COVID-19 on the travel and leisure industry returns: Some international evidence

Lee

Chen

2020

Tourism Economics

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This research crucially investigates COVID-19 variables’ impacts on the changing distributions of travel and leisure industry returns across 65 countries via a quantile regression model that uses daily data from December 2019 to May 2020 to provide early evidences from a panel of countries. We find that the change rate in COVID-19 deaths exerts more substantial negative effects on industry returns at majority quantiles than does the impact from the number of confirmed cases. The latter number only saliently and negatively influences the lowest return quantiles, revealing a nonlinear effect of confirmed cases. The study identifies a V-shape correlation between the number of cases recovered and travel and leisure industry returns (i.e. a negative impact at the lower quantiles, but a positive impact at higher quantiles) across return quantiles. This likely denotes that confirmed cases grow exponentially and that their effect may overwhelm the impact of the number of recovered cases. Lastly, this study presents a positive correlation between government response stringency index and returns.

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Section: Research Background and Hypotheses Developmentmentioning

confidence: 99%

The impact of COVID-19 on the travel and leisure industry returns: Some international evidence

Lee

Chen

2020

Tourism Economics

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“…Total cases, total deaths, new cases, and new deaths are all adopted to measure the development of pandemics among each country. The findings provided by Mollick and Assefa (2013), Fernandes, Medeiros, and Scharth (2014), Lee et al (2019), and Lee and Chen (2020) among others suggest that VIX could negatively affect the stock market return. Onali (2020) empirically reveals that the impact of VIX on stock market return has largely increased after the outbreak of the COVID-19 pandemic.…”

Section: Further Studymentioning

confidence: 91%

The Response of the Stock Market to the Announcement of Global Pandemic

Lee

2020

Emerging Markets Finance and Trade

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This research aims at investigating the response of the stock market to the WHO announcement on 11 th of March 2020 which officially declares the spread of the COVID-19 virus as a global pandemic. A total of 77 countries' major indices have been examined by this research. The results show that (1) the pandemic announcement provides considerable negative shock on the global stock market; (2) country with different income presents a different response to the announcement. In general, the stock market in higherincome country tends to be overreacted at the beginning and bounds back more rapidly than lower-income country.

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“…They observe a negative (positive) dependence between uncertainty measures and oil returns (during certain periods such as before the financial crisis and Great Recession). Lee et al (2019) study the impact of country risk (i.e., economic risk, financial risk, and political risk) on energy commodity futures prices using quantile regression for 1994-2017. They find that for crude oil and heating oil, the economic risks (financial risks) are significantly positive (negative) in the lower quantiles, but the effects turn significantly negative (positive) in the upper quantiles of the commodity returns.…”

Section: Scholarly Work Related To Effect Of Uncertainty On the Oil And Gas Sectormentioning

confidence: 99%

“…impact of uncertainties (economic, financial and energy) on S&P 500 Global Clean Energy Index (CEX), crude oil and natural gasLee et al (2019) January 1994 to July 2017Quantile regression USA to study the impact of country risk (i.e., economic risk, financial risk, and political risk) on energy commodity futures prices (crude oil, heating oil, and natural gas)…”

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confidence: 99%

Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

Sinha¹,

Sharif

Adhikari

et al. 2022

Ann Oper Res

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Given the developing nations are moving towards attaining the sustainable energy future, the reliance on renewable energy solutions is rising. Therefore, the dependence on traditional fossil fuel-based solutions is getting reduced, and this might have an impact on the energy market commodities. Analyzing this impact might divulge several insights regarding the portfolio decisions, in presence of the transformations in developmental trajectory. In this study, we analyze the cross-quantile dependence of the returns on the energy market commodities and the market returns for Indian financial market over July 31, 2008 to March 31, 2020. For this purpose, we adopt a novel three-stage methodology comprising Dynamic Conditional Correlation GARCH, Cross-quantilogram, and Wavelet Coherence-based models. We find that the market returns have negative effect on returns on the energy market commodities. This impact has been found to be asymmetric in nature. Moreover, the moderating impact of policy uncertainty has been analyzed has been analyzed through partial cross-quantilogram approach, and the outcome shows that the impact remains same under extreme market conditions. The findings have significant portfolio decisions in an energy transition context.

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Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

Cited by 41 publications

References 139 publications

The impact of COVID-19 on the travel and leisure industry returns: Some international evidence

The impact of COVID-19 on the travel and leisure industry returns: Some international evidence

The Response of the Stock Market to the Announcement of Global Pandemic

Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

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