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

By Ikram Jebabli, Noureddine Kouaissah, Mohamed Arouri. Finance Research Letters, 2021

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Abstract This paper investigates volatility spillovers between energy and stock markets during periods of crises. Our main findings reveal that transmissions of volatilities among these markets during the Covid-19 pandemic crisis exceeded the ones recorded throughout the 2008 global financial crisis. All stock markets are net transmitters of volatility to energy markets during the 2008 global financial crisis while they show different patterns during the Covid-19 crisis. We also provide evidence of asymmetric volatility spillovers among stock and energy markets. Our results also indicate that on average natural gas provides better hedging effectiveness to the stock markets than crude oil.

Subfields: Economics and Econometrics, General Energy

View Paper: https://www.semanticscholar.org/paper/de4c41d51d5335e3b5d6ddeda749ed325b0a513b