COVID-19 and the Energy Price Volatility

Apostolos G. Christopoulos, Petros Kalantonis, Ioannis Katsampoxakis and Konstantinos Vergos
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Apostolos G. Christopoulos: Department of Business Administration, University of the Aegean, 81100 Mytilene, Greece
Petros Kalantonis: Department of Tourism Management, University of West Attica, 12244 Athens, Greece
Ioannis Katsampoxakis: Department of Statistics and Actuarial—Financial Mathematics, University of the Aegean, 81100 Mytilene, Greece
Konstantinos Vergos: Department of Economics and Finance, University of Portsmouth, Portsmouth PO13DE, UK

Energies, 2021, vol. 14, issue 20, 1-15

Abstract: The challenges of the world economy and their societies, after the outbreak of the COVID-19 pandemic have led policy-makers to seek for effective solutions. This paper examines the oil price volatility response to the COVID-19 pandemic and stock market volatility using daily data. A general econometric panel model is applied to investigate the relationship between COVID-19 infection and death announcements with oil price volatility. The paper uses data from six geographical zones, Europe, Africa, Asia, North America, South America, and Oceania for the period 21 January 2020 until 13 May 2021 and the empirical findings show that COVID-19 deaths affected oil volatility significantly. This conclusion is confirmed by a second stage analysis applied separately for each geographical area. The only geographical area where the existence of correlation is not confirmed between the rate of increase in deaths and the volatility of the price of crude oil is Asia. The conclusions of this study clearly suggest that COVID-19 is a new risk component on top of economic and market uncertainty that affects oil prices and volatility. Overall, our results are useful for policy-makers, especially in the case of a new wave of infection and deaths in the future.

Keywords: COVID-19; pandemic; energy market volatility; announcements; uncertainty; deaths; infections (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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