Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis

Jebabli, Ikram; Kouaissah, Noureddine; Arouri, Mohamed El Hédi

doi:10.1016/j.frl.2021.102363

Cited by 107 publications

(77 citation statements)

References 34 publications

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“…This is likely related to concerns regarding the global financial crisis and the pandemic crisis. Our results thus fall in line with those derived from very recent contributions such as [60] or [61]. Certain companies stand out as main risk drivers in the European energy sector.…”

Section: Discussionsupporting

confidence: 90%

“…This can be easily related to the concerns regarding the most recent financial crisis and the global pandemic. The effects of the pandemic on energy markets have been analyzed by very recent studies, see [60,61] inter alia. For example, [60] study risk spillovers deriving from the pandemic on the Chinese energy sector.…”

Section: Resultsmentioning

confidence: 99%

“…The effects of the pandemic on energy markets have been analyzed by very recent studies, see [60,61] inter alia. For example, [60] study risk spillovers deriving from the pandemic on the Chinese energy sector. The authors offer an in-depth investigation, dividing the market into nine sub-sectors.…”

Section: Resultsmentioning

confidence: 99%

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Systemic Risk Spillovers in the European Energy Sector

et al. 2021

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In this article, we aim to study systemic risk spillovers for European energy companies and to determine the spillover network of the energy sector with other economic sectors. To examine the spillovers within the energy sector, we employ three systemic risk measures. We then embed the results of these models into a Diebold–Yilmaz framework. Moreover, we consider an entropy procedure to extract a Bayesian formulation of its systemic risk spillover. This allows us to determine which company in our sample contributes the most to systemic risk, which company is the most vulnerable to systemic risk, and the place of the energy sector within risk networks. Our results reveal the fact that all companies manifest enhanced spillovers during 2008, early 2009, and 2020. These episodes are associated with the dynamics of the global financial crisis and the pandemic crisis. We notice that specific companies are risk drivers in the sector in both times of market turbulence and calm. Lastly, we observe that several economic sectors such as banks, capital goods, consumer services, and diversified financials generate relevant spillovers towards the energy sector.

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Section: Discussionsupporting

confidence: 90%

Section: Resultsmentioning

confidence: 99%

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Systemic Risk Spillovers in the European Energy Sector

et al. 2021

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“…Fourthly, supply chain operations were also affected by financial market fluctuations ( Kavussanos & Talley, 2004 ; Drobetz, Menzel, & Schröder, 2016 ). The increased financial uncertainty during COVID-19 hurt the transportation economy ( Fang & Zhang, 2021 ; Jebabli et al, 2021 ). Therefore, the first question of this empirical study is to estimate how much damage the COVID-19 pandemic caused to the logistics industry regarding freight volume and rate).…”

Section: Methodsmentioning

confidence: 99%

Flow of goods to the shock of COVID-19 and toll-free highway policy: Evidence from logistics data in China

Guo

2022

Research in Transportation Economics

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“…In terms of finance and capital markets, researches have been performed to study the link between COVID-19 pandemic and financial aspects in the scope of banking [5][6][7][8][9], cryptocurrency [10][11][12][13][14][15][16], exchange rates [17][18], financial system [19], insurance [20], interest rates [21] and equity markets . In case of equity markets, the effects of COVID-19 outbreak has been investigated on the return [27-28, 41-43, 46] and volatility [26,32,[42][43][44] of the market in developed [22,29] and developing [39,45] economies. The bulk of these studies have found marked differences in the market behavior before and after the pandemic announcement -an increase in volatility and decrease in returns after the pandemic outbreak.…”

Section: Introductionmentioning

confidence: 99%

COVID-19: A Game-changer to Equity Markets?

Golmohammadi

Fazelabdolabadi²

2021

J. Hum. Earth Future

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This article applies the effective transfer entropy methodology to quantify the information flow between equities in major global equity markets in Australia, Brazil, Canada, China, Germany, Iran, Japan, Qatar, Saudi Arabia, South Africa, South Korea, United Kingdom, and the United States – a pool of 2200 companies included. To account for COVID-19 impacts, the period of the study was extended over two years. The results show changes to the information flow pattern after COVID-19, with the largest changes being encountered in Australia, Brazil, Canada, Japan, and the United States – for their largest market participants (by market capitalization). In comparison, the Asian markets show less noticeable changes in their information flow pattern after COVID-19. On a sector level, most of the markets studied have seen substantial changes in the functionality of their sectors – in terms of being a transmitter or receiver of information – after COVID-19 appearance. The fraction of sectors with a complete change in their influencing role since COVID-19 has been over 70% in Australia, Canada, South Africa, and the United States. The financial services sector has retained its role - as being the most influencing sector - in 6 out of 13 markets considered after COVID-19. For most of the markets, the basic materials, communications, energy, and utilities sectors have retained an intermediate position in the information flow diagram, after COVID-19. The German market has been the only market, in which the main information transmitter and receiver sectors have remained unchanged, since COVID-19. The results suggest drastic moves in major global equity markets, which have been concurrent with the virus outbreak. Doi: 10.28991/HEF-2021-02-01-05 Full Text: PDF

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Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis

Cited by 107 publications

References 34 publications

Systemic Risk Spillovers in the European Energy Sector

Systemic Risk Spillovers in the European Energy Sector

Flow of goods to the shock of COVID-19 and toll-free highway policy: Evidence from logistics data in China

COVID-19: A Game-changer to Equity Markets?

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