Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the impact and the timing of the impact of COVID-19 related uncertainty on...

This paper examines the dependence structure between European Union allowances (EUAs) and crude oil markets during the second commitment period of the European Union Emissions Trading Scheme and the implications for portfolio management. Using different copula models, our findings suggest...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH–EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a...

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component...

A previous research ignores the distinction between short term and long term, and by decomposing financial variables (world general and stock market indexes) and the macroeconomic variable (oil prices) at various time scales, we study the relationship among series on a daily scale by scale...

Using a binomial probability distribution model this paper creates an endurance index of oil service investor sentiment. The index reflects the probability of the high or low stock price being the close price for the PHLX Oil Service Sector Index. Results of this study reveal the substantial...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004–2011 period and the 2009–2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

Oil prices increased dramatically during 2004–2006. Industry experts initially attributed these price increases to fundamental factors such as the rise in global demand, but also because of disruptions in the supply of oil. The price increases however were so substantial that additional...

Employing the MS-ARJI-GJR-GARCH-X model, in which the parameters for the jump process, the asymmetric GARCH effect and the impacts of oil price shocks are regime-dependent, this paper analyzes the impact of crude oil price shock on stock return dynamics. Empirical results reveal three...