The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

Dmytrów, Krzysztof; Landmesser, Joanna; Bieszk‐Stolorz, Beata

doi:10.3390/en14134024

Cited by 33 publications

(26 citation statements)

References 68 publications

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“…By spring 2021, commodity prices were above the prepandemic levels. Dmytrów et al [87] compared the time series of energy commodity prices with the time series of daily COVID-19 cases from 5 January 2020 to 12 March 2021. They find that the commodities such as ULSD, fuel oil, crude oil, and gasoline are weakly associated with the COVID-19 cases.…”

Section: Discussionmentioning

confidence: 99%

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Bieszk‐Stolorz

Markowicz

2021

Energies

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Many factors influence the prices of energy commodities and the value of energy and fuel companies. Among them there are the following factors: economic, social, environmental and political, and recently also the COVID-19 pandemic. The aim of the paper is to examine what the probability and intensity of a decrease in the prices of shares of energy and fuel companies listed on the Warsaw Stock Exchange (Poland) was during the first wave of the pandemic in the first quarter of 2020. The study used the survival analysis methods: the Kaplan-Meier estimator, the test of equality of duration curves and the Cox non-proportional hazards model. The analysis showed that the probability and intensity of price decline of energy and fuel companies in the initial period was the same as that of other companies. The differences become apparent only after 50 days from the established maximum of their value. The risk of price declines in energy and fuel companies increased significantly. This situation was related both to a temporary reduction in demand for energy and fuels, pandemic restrictions introduced in individual countries and the behaviour of stock market investors.

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Section: Discussionmentioning

confidence: 99%

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Bieszk‐Stolorz

Markowicz

2021

Energies

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“…DTW was originally applied for the context speech recognition (Giorgino, 2009). Since then, it was used in many other disciplines such, as finance (Stübinger, 2019), comparison of the COVID-19 dynamics (Landmesser, 2021a;2021b), dynamics of share prices of energy commodities (Dmytrów et al, 2021), or labour market (Dmytrów & Bieszk-Stolorz, 2019) It is used for estimation of the optimal alignment of timeseries by means of the dynamic programming methods. The alignment between the two-time series is measured by the cost matrix obtained by means of the taxicab geometry (Manhattan distance metric).…”

Section: Methodsmentioning

confidence: 99%

Comparison of changes in the labour markets of post-communist countries with other EU member states

Dmytrów

Bieszk‐Stolorz

2021

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strengthen their international competitiveness. This was linked to the implementation of institutional and economic reforms, significant technological changes and improvements in the quality of human capital, as well as fiscal stabilisation policies. These changes affected their situation in the labour market. Purpose of the article: The aim of the study is to assess changes in the situation in the labour market in the EU with particular emphasis on the post-communist countries in the period 2002? 2019. Methods: The situation of countries in the European labour market was estimated using the TOPSIS method. A similarity matrix of changes in the composite variable for each country was then constructed using the Dynamic Time Warping method. On its basis, homogeneous clusters of countries were determined using the Ward?s method. Findings & value added: Four homogenous clusters of countries were formed. The post-communist ones belonged to two groups. In one, there were two countries ? Croatia and Slovakia. The rest of the post-communist countries were in a large cluster, which also included Germany, Malta, Finland, Portugal, France and Belgium. Changes of the situation in the post-communist countries in this group improved very much during the analysed period (this was particularly evident for Czechia, Estonia and Poland). It is interesting to investigate whether the reaction of labour markets to changes in the global economic situation in post-communist countries is similar to that in the old EU countries. The similarity of changes can be measured using the DTW method. There is an empirical research gap in this respect. Therefore, the added value is the use of this method in assessing similarities of changes in the labour market situation in post-communist countries in comparison to the Western European ones.

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“…The first wave of the pandemic proved to be a great surprise and problem for the entire economy. However, the introduced protective tools for companies and the acquired experience meant that the impact of the second wave on the economy was not as severe (Dmytrów et al, 2021). It seems that during the second wave of the pandemic, those sectors of companies that were most severely affected by the first wave suffered more.…”

Section: Methodsmentioning

confidence: 99%

Risk of Decline in Share Prices of Energy and Fuel Sector on the Warsaw Stock Exchange During the Two Waves of the COVID-19 Pandemic

Bieszk‐Stolorz¹,

Markowicz²

2021

ERSJ

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Purpose:The COVID-19 pandemic is now frequently cited as a factor affecting countries' economies. A decline in the share prices of companies appeared in Poland with each successive wave of the pandemic (3 waves). The aim of our research is to identify the characteristics of companies that influence the fact that their share prices decline below a certain level during the first and second waves of the pandemic. We focus on the energy and fuel companies, due to their high economic importance. Design/Methodology/Approach: We use the logit model in assessment of the risk of price decline. Share prices of companies listed on the WSE were analysed. A comparison was made of the risk of a decline in the share prices of energy and fuel companies in relation to other companies, and according to stock exchange macrosectors. The research hypotheses are verified by estimating the two models: model ( 1) for the first wave of the pandemic (I stage) and model ( 2) for the second wave of the pandemic (II stage). Findings: The main conclusion of the research is that the first wave of the pandemic caused panic in the stock market. This was a completely new economic disruptor. During the second wave of the pandemic, morbidity and mortality rates were much higher, but the lessons learned beforehand had a dampening effect on stock market reactions. Practical Implications: A pandemic situation is a specific type of crisis. The analysis shows that the technology macrosector is the least vulnerable to this type of crisis. Teleworking and the use of new communication technologies have influenced the development of this sector. In contrast, the fuel and energy sector is very sensitive to any restrictions on movement. Originality/Value: A direct comparison of the impact of the two waves of the pandemic on company prices in Poland has not been conducted so far. Particularly important is the inclusion in the analysis of macro-sectors, which made it possible to identify those most exposed to the risk of decline in prices.

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The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

Cited by 33 publications

References 68 publications

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Decline in Share Prices of Energy and Fuel Companies on the Warsaw Stock Exchange as a Reaction to the COVID-19 Pandemic

Comparison of changes in the labour markets of post-communist countries with other EU member states

Risk of Decline in Share Prices of Energy and Fuel Sector on the Warsaw Stock Exchange During the Two Waves of the COVID-19 Pandemic

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