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The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets

Taimur Sharif Orcid Logo, Jihene Ghouli Orcid Logo, Ahmed Bouteska Orcid Logo, Mohammad Abedin

Economic Analysis and Policy, Volume: 84, Pages: 25 - 41

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1016/j.eap.2024.08.008

Abstract

This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity ind...

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Published in: Economic Analysis and Policy
ISSN: 0313-5926
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa67434
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first_indexed 2024-08-19T09:53:26Z
last_indexed 2024-08-19T09:53:26Z
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spelling v2 67434 2024-08-19 The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2024-08-19 CBAE This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity indexes in the US. Nevertheless, the magnitude of this impact varies across different volatility regimes. Notably, the WTI crude oil exhibits more substantial effects during periods of lower volatility characterised by fewer COVID-19 cases, potentially attributed to market control measures. In contrast, the Brent crude oil displays a more pronounced impact of the COVID-19 during turbulent periods, attributed to the market's openness and the prevalence of speculative participants. The study suggests that participants in the Brent market, driven by a desire to capitalise on price differentials, intensify their activities during turbulent periods, contributing to increased volatility during successive waves of high COVID-19 cases. The observed structural differences between the WTI and Brent commodity markets carry significant policy implications for investors in the energy sector. Journal Article Economic Analysis and Policy 84 25 41 Elsevier BV 0313-5926 COVID-19 pandemic; Crude oil indexes; Market volatility, GARCH 1 12 2024 2024-12-01 10.1016/j.eap.2024.08.008 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-09-20T11:26:58.1526924 2024-08-19T10:44:54.7377198 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Taimur Sharif 0000-0002-4908-0756 1 Jihene Ghouli 0009-0003-8747-016x 2 Ahmed Bouteska 0000-0002-5710-501x 3 Mohammad Abedin 4 67434__31410__bd86054931c04ac2bca1af8338e4dd51.pdf 67434.VoR.pdf 2024-09-20T11:25:23.5621949 Output 1667211 application/pdf Version of Record true © 2024 The Economic Society of Australia (Queensland) Inc. This is an open access article under the CC BY license. true eng http://creativecommons.org/licenses/by/4.0/
title The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
spellingShingle The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
Mohammad Abedin
title_short The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
title_full The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
title_fullStr The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
title_full_unstemmed The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
title_sort The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Taimur Sharif
Jihene Ghouli
Ahmed Bouteska
Mohammad Abedin
format Journal article
container_title Economic Analysis and Policy
container_volume 84
container_start_page 25
publishDate 2024
institution Swansea University
issn 0313-5926
doi_str_mv 10.1016/j.eap.2024.08.008
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description This research investigates the influence of the COVID-19 on the returns of energy indexes in the US using daily time series data of WTI and Brent markets for the January 2020 – March 2022 period. The findings reveal compelling evidence of the COVID-19 impacting the volatility of energy commodity indexes in the US. Nevertheless, the magnitude of this impact varies across different volatility regimes. Notably, the WTI crude oil exhibits more substantial effects during periods of lower volatility characterised by fewer COVID-19 cases, potentially attributed to market control measures. In contrast, the Brent crude oil displays a more pronounced impact of the COVID-19 during turbulent periods, attributed to the market's openness and the prevalence of speculative participants. The study suggests that participants in the Brent market, driven by a desire to capitalise on price differentials, intensify their activities during turbulent periods, contributing to increased volatility during successive waves of high COVID-19 cases. The observed structural differences between the WTI and Brent commodity markets carry significant policy implications for investors in the energy sector.
published_date 2024-12-01T11:26:57Z
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score 11.036684

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