The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis

Aslam, Faheem; Slim, Skander; Osman, M. S.; Tabche, Ibrahim

doi:10.1108/jrf-06-2022-0152

Cited by 13 publications

(12 citation statements)

References 64 publications

(119 reference statements)

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“…The bloc has pledged to cut its gas imports from Russia by two-thirds by the end of 2022, and it is exploring ways to import more LNG from other countries. The war has also had a ripple effect on energy prices in other parts of the world [220].…”

Section: Impact Of the Russian Invasion Of Ukraine On The Energy Marketmentioning

confidence: 99%

“…In response to the energy crisis, governments around Europe took steps to mitigate the impact on consumers and businesses. These measures included [219][220][221][222][223]:…”

Section: Impact Of the Russian Invasion Of Ukraine On The Energy Marketmentioning

confidence: 99%

“…The United States, which imports only a small amount of natural gas from Russia, has also seen prices rise as the global market has become more volatile. The price of gasoline in the United States rose by 42% in the months following the invasion, reaching a record high of $5.02 per gallon in June 2022 [220].…”

mentioning

confidence: 99%

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The Influence of the Global Energy Crisis on Energy Efficiency: A Comprehensive Analysis

Gajdzik,

Wolniak,

Nagaj

et al. 2024

Energies

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The global energy crisis, which began in 2021 due to the extraordinary economic recovery after the pandemic and intensified after Russia’s invasion of Ukraine in February 2022, has changed the conditions of energy management, paying more attention to energy efficiency. Natural gas prices have reached record levels and, consequently, so have electricity prices in some markets. Oil prices have reached their highest level since 2008. Higher energy prices have contributed to sharply increased inflation. Households are again becoming interested in buying coal as a source of heat. High energy and gas prices have pushed many families into poverty and forced some factories to cut production or even close. They have also slowed economic growth to the point where some countries are heading for a serious recession. Paradoxically, the negative effects of the energy crisis may accelerate the introduction of cleaner, sustainable, renewable energy such as wind and solar energy. The energy crisis is comparable to the oil crisis of the 1970s, when it contributed to significant advances in energy efficiency. The current crisis has highlighted the importance of investments in renewable energy resources and initiated the process of integrating regional markets, developing energy efficiency and promoting renewable energies. The aim of this article is to comprehensively explore the complex relationship between energy awareness, consumption patterns, and energy efficiency, with a focus on both individual consumers and industries, during the global energy crisis. This paper is based on a literature review, overarching policy documents, energy reports, and other secondary documents. The primary research method was the systematic literature review method, based on which the impact of the global energy crisis on energy efficiency was evaluated. This study emphasizes the diverse influences on energy awareness, ranging from economic factors to consumer preferences and environmental consciousness. The findings of the paper underscore the significant responsibility of industries in contributing to energy-saving efforts and the active role of consumers in the energy market. The responsibility of industries in contributing to energy efficiency is highlighted, with a call for a comprehensive approach that integrates energy-saving criteria into product development and corporate social responsibility.

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Section: Impact Of the Russian Invasion Of Ukraine On The Energy Marketmentioning

confidence: 99%

“…In response to the energy crisis, governments around Europe took steps to mitigate the impact on consumers and businesses. These measures included [219][220][221][222][223]:…”

Section: Impact Of the Russian Invasion Of Ukraine On The Energy Marketmentioning

confidence: 99%

See 1 more Smart Citation

The Influence of the Global Energy Crisis on Energy Efficiency: A Comprehensive Analysis

Gajdzik,

Wolniak,

Nagaj

et al. 2024

Energies

View full text Add to dashboard Cite

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“…Moreover, Russia is a key producing country. The growing demand for oil and energy will add to the further woes given the restricted supplies resulting from the embargo, which may have differential impacts altogether (See Aslam et al ., 2022). Consequently, we anticipate the current conflict will increase risk in energy markets.…”

Section: Introductionmentioning

confidence: 99%

Russia–Ukrainian war: measuring the intraday risk dynamics of energy futures contracts using VaR and CVaR

Banerjee

2023

JRF

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PurposeThis paper investigates the influence of the ongoing crisis of Russia's incursion on Ukraine on the risk dynamics of energy futures contracts with high-frequency data on four different futures contracts using risk metrics of value at risk (VaR) and conditional value at risk (CVaR) for the USA market.Design/methodology/approachThe author used different generalised autoregressive conditional heteroscedasticity - Extreme Value Theory (GARCH)-EVT models and compared the performance of each of the competing models. Backtesting evidence shows that VaR and CVaR combined with GARCH-EVT better estimate risk.FindingsThe study results show that combined risk metrics are efficient and adaptive to estimating the risk dynamics and backtesting of the models, revealing that the autoregressive moving average (ARMA) (1,1)-asymmetric power autoregressive conditional heteroscedasticity (APARCH) model performs relatively better than other models.Practical implicationsThe paper has practical implications for different market participants. From the risk manager's and day traders' angles, the market participants can estimate the risk exposure in the energy futures contract and take positions accordingly. The results are important for oil-importing countries due to the developing supply crisis and price escalation, which can brew inflation in the economy.Originality/valueTo the best of the author's knowledge, the paper is the first to throw light on the risk angle of energy futures contracts during the ongoing crisis of the Russia–Ukraine war.

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“…This is echoed in the next study investigating how the Russian conflict with Ukraine has affected the day-to-day operations of four significant energy markets: diesel oil, Brent oil, light oil and natural gas (Aslam et al, 2023). For this research, the authors apply a multifractal detrended fluctuation analysis, abbreviated as MFDFA, to high-frequency returns at 30-min intervals beginning October 21, 2021, and ending May 20, 2022.…”

mentioning

confidence: 99%

Guest editorial: Implications of the Russia–Ukraine conflict on the global financial markets

Boubaker¹,

Sarea²,

Choudhury³

2023

JRF

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The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis

Cited by 13 publications

References 64 publications

The Influence of the Global Energy Crisis on Energy Efficiency: A Comprehensive Analysis

The Influence of the Global Energy Crisis on Energy Efficiency: A Comprehensive Analysis

Russia–Ukrainian war: measuring the intraday risk dynamics of energy futures contracts using VaR and CVaR

Guest editorial: Implications of the Russia–Ukraine conflict on the global financial markets

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