2019
DOI: 10.1186/s40854-019-0128-2
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Abstract: This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran. The analysis specifically considers the refining, drilling, and petrochemical equity sectors of the Tehran Stock Exchange. The parameter estimation uses the quasi-Monte Carlo and Bayesian optimization methods in the framework of a generalized autoregressive conditional heteroskedasticity model, and a complementary Bayesian… Show more

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Cited by 6 publications
(7 citation statements)
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References 101 publications
(121 reference statements)
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“…Panel A of Table 4 shows that Δ CV 19 I t has a statistically significant and negative effect on global energy sector returns with a β i ,∆ CV 19 I of −0.0028, and on all national energy sectors. These results are consistent with the nascent literature on the negative impact of COVID-19 uncertainty on market aggregates ( Costola et al, 2020 ; Liu et al, 2020 ; Smales, 2021 amongst others) and mirror prior studies on the sensitivity of this sector to uncertainty ( Bianconi and Yoshino, 2014 ; Fazelabdolabadi, 2019 ; Nikkinen and Rothovius, 2019 ).…”
Section: Resultssupporting
confidence: 91%
“…These results constitute evidence that COVID-19 related uncertainty triggers volatility for most national energy sectors. In line with this, Fazelabdolabadi (2019) reported that oil price uncertainty contributed to increased volatility in the Iranian energy sector while Liu (2020) found that COVID-19 related uncertainty fuelled greater Chinese stock return volatility. Smales (2021) also reported increased stock market return volatility in response to COVID-19 uncertainty, similarly measured using Google search trends for individual markets that comprise the G7 grouping.…”
Section: Resultsmentioning
confidence: 87%
See 1 more Smart Citation
“…Hatami-Marbini et al (2018) developed an overarching evaluation process for estimating the RTS of DMUs under imprecise DEA (IDEA), where the input and output data lie within bounded intervals. For more on IDEA, see Shabani et al (2019), Ebrahimi (2018), Fazelabdolabadi (2019), Toloo et al (2018), Shokouhi et al (2014), Hatami-Marbini et al (2017), Ureña et al (2019), Zhang et al (2019), Kao et al (2014) and the references therein.…”
Section: Introductionmentioning
confidence: 99%
“…A large number of studies show that the commodity futures are valuable sources of diversification investment for investors and portfolio managers (Arouri et al, 2011;Fazelabdolabadi, 2019;Klein, 2017;Lucey et al, 2017). Geman and Kharoubi (2008) explore the diversification effect brought by crude oil futures contracts into a portfolio of stocks.…”
Section: Introductionmentioning
confidence: 99%