Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries
| dc.contributor.author | Benlagha, Noureddine | |
| dc.contributor.author | Karim, Sitara | |
| dc.contributor.author | Naeem, Muhammad Abubakr | |
| dc.contributor.author | ETAL.. | |
| dc.date.accessioned | 2024-06-04T07:48:07Z | |
| dc.date.available | 2024-06-04T07:48:07Z | |
| dc.date.issued | 2022-11 | |
| dc.description | The spillover dynamics among crude oil, renewable energy, and stock markets have received substantial attention from policymakers, regulatory authorities, investors, financial market participants, and governments following the upsurge in renewable energy markets and avoiding conventional energy sources. | |
| dc.description.abstract | The surmounted environmental and energy challenges have motivated this study to explore the connectedness nexus between oil/renewable energy and stock markets for oil-exporting (importing) countries. We utilize the dynamic conditional correlation (DCC-GARCH) connectedness framework to compare the connectedness of oil/renewable energy with stock markets. Our results showcase higher total connectedness between renewable energy and stock markets. We find increased connectedness during three major pandemics (Swine Flu, EBOLA, and COVID-19). We performed a regression analysis that highlighted the impact of economic and financial uncertainties on connectedness as an additional analysis. The addition of dummy variables for three major pandemics indicates that COVID-19 significantly impacted the connectedness between oil/renewable energy and stock markets. For the robustness of our results, we employed time-varying vector autoregressions (TVP-VAR) connectedness framework to showcase that our results remain qualitatively similar and robust to different specifications. We draw useful implications for oil exporting and oil importing countries in particular, and we draft ramifications for investors, portfolio managers, policymakers, and macroprudential bodies in general. Keywords: Crude oil, Renewable energy, Oil importing and exporting stocks,Global pandemics | en |
| dc.identifier.citation | Benlagha, N., Karim, S., Naeem, M. A., Lucey, B. M., & Vigne, S. A. (2022). Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries. Energy Economics, 115, 106348. | |
| dc.identifier.doi | https://doi.org/10.1016/j.eneco.2022.106348 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5619 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries | |
| dc.type | Article |