Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?

Assaf, Ata; Charif, Husni; Mokni, Khaled

doi:10.1016/j.resourpol.2021.102112

Cited by 42 publications

(15 citation statements)

References 75 publications

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“…Are volatility spillovers more pronounced in the short term than the long term? Since many possible driving factors such as pandemic intensity, market uncertainty, and investors' sentiment may lead to some degree of fluctuations in financial markets ( Sun et al, 2021 , Assaf et al, 2021 , Aste, 2019 , Gajardo et al, 2018 , Yi et al, 2018 ), the economic and financial impacts of the COVID-19 are difficult to predict ( Abuzayed et al, 2021 ). In addition, some recent studies indicate that the correlations within the traditional equity markets are not symmetric, and a nonlinear and asymmetric association between the equity markets and the COVID-19 outbreak might be observed ( Lin and Su, 2021 , Hanif et al, 2021 , Iqbal et al, 2021 , Shahbaz et al, 2018 ).…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Dong

Li²,

Xin-tian³

et al. 2022

The North American Journal of Economics and Finance

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Section: Introduction and Literature Reviewmentioning

confidence: 99%

Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Dong

Li²,

Xin-tian³

et al. 2022

The North American Journal of Economics and Finance

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“…On the other hand, Wang et al (2021) examined the association between uncertainty and S&P 500 returns and found that the uncertainty related to the COVID-19 pandemic was positively linked to the stock return index. However, other studies have highlighted a varying, but consistent, link between different types of uncertainty and commodity prices, such as oil, gas, and coal prices (Bouoiyour et al 2019;Assaf et al 2021;Huang et al 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…First is through expected cash flow, where a change in oil price changes a stock's expected cash flow, influencing its return (Ciner 2013;Kilian 2009). The second is through inflation, where an increase in oil price can cause the costs of production and borrowing to increase, influencing the valuation discount rate (Ciner 2013;Assaf et al 2021). Lastly, oil price fluctuation can impact stock returns through uncertainty.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Lastly, oil price fluctuation can impact stock returns through uncertainty. Higher oil demand can lead to positive expectations and, therefore, increase stock returns, while the link is negative if the impact is from the supply side (Filis et al 2011;Assaf et al 2021). There are two strands in the existing literature related to the link between oil prices and asset prices.…”

Section: Literature Reviewmentioning

confidence: 99%

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Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries

Albaity

Mallek

Mustafa

2022

Risks

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In this study, we investigated the impact of COVID-19 investor sentiment (CS), number of cases (CC), and deaths (CD) on bank stock returns in 16 MENA countries. In addition, we examined the interaction effects of CS with CC and CD on bank stock returns. Lastly, we looked at whether Islamic banks outperformed conventional banks during the pandemic. Based on monthly data from the Middle East and North Africa (MENA) countries from February 2020 to July 2021, we used the clustered standard error fixed effect estimation on Islamic and conventional bank stock market returns. The results suggest that CC and CD have negative impacts on bank stock market returns while CS has no effect, except for the lagged value. The interaction effect of CS with CC and CD on stock returns proved to strengthen the link in the current month and weaken the link in the previous month.

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“…The view that political risk is the primary consideration of energy policy has been widely recognized (Yang et al, 2014;Lee et al, 2017;Duan et al, 2018). Through TVP-VAR model, Assaf et al Found that the average impact of market uncertainty such as geopolitical risk on energy market is about 53% (Assaf et al, 2021). From the perspective of supply and demand relationship, the rise of national risk will lead to the decline of energy consumption, thus reducing a country's dependence on global energy trade (Lee et al, 2017).…”

Section: Literature Review and Contributionmentioning

confidence: 99%

Heterogeneity of the Impact of Geopolitical Events on Energy Trade: An Empirical Study Based on Regression Discontinuity Design

Liu

Yang

et al. 2021

Front. Environ. Sci.

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In the context of intensifying global geopolitical disputes and trade frictions, the relationship between geopolitics and energy trade has attracted extensive attention from scholars. The complexity of geopolitical risks mainly comes from the diversity of geopolitical events, which directly leads to the different responses of energy trade in the face of geopolitical risks. The purpose of this paper is to analyze the heterogeneity of the impact of geopolitical events on energy trade based on the difference of event types. This paper uses Regression Discontinuity Design (RDD) to simulate a quasi-natural experiment. Based on the monthly data and the Geopolitical Risk index (GPR index) of 17 emerging economies from 2000 to 2020, the empirical analysis can be concluded as follows: Wars and conflicts events lead to the increase of energy trade volume; terrorist attacks have no significant impact on energy trade; international tension can cause the decline in energy trade. Additional analysis shows that the impact of geopolitical events on energy trade in emerging economies is concentrated on the demand side, and the demand is severely inelastic.

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Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?

Cited by 42 publications

References 75 publications

Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries

Heterogeneity of the Impact of Geopolitical Events on Energy Trade: An Empirical Study Based on Regression Discontinuity Design

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