Uncertainty Due to Infectious Diseases and Energy Market Volatility

By Afees A. Salisu, Idris A. Adediran. 2020

142 citations recorded by the source corpus.

Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.

Subfields: Economics and Econometrics, Pollution

View Paper: https://www.semanticscholar.org/paper/14acb60e907b4c0b58ca67789fc2bd6ad5166df5

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In Economics and Econometrics

1. Sikiru Abidemi Abdulsalam
2. Afees A. Salisu

Citations in the corpus

• Pandemics and the Asia-Pacific Islamic Stocks (2020, background): “Using the same measure, Salisu & Adediran (2020) find a strong connection between energy risk and pandemics.”
• Did Bubble Activity Intensify During COVID-19? (2020, unknown): “…& Monge, 2020; Gu et al., 2020; Haroon & Rizvi, 2020a, 2020b; Huang & Zheng, 2020; Iyke, 2020a, 2020b; Liu et al., 2020; Narayan, 2020; Qin et al., 2020; A. Salisu & Adediran, 2020; A.A. Salisu et al., 2020; Afees A. Salisu & Vo, 2020; Xiong et al., 2020; Zaremba et al., 2020; Zhang et al., 2020).”