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

Ikram Jebabli, Noureddine Kouaissah and Mohamed Arouri

Finance Research Letters, 2022, vol. 46, issue PA

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.

Keywords: volatility spillovers; crude oil; natural gas, stock markets; financial crisis; Covid-19 (search for similar items in EconPapers)
JEL-codes: G14 G15 I10 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003664

DOI: 10.1016/j.frl.2021.102363

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