Impact of COVID-19 pandemic on the energy markets

Imlak Shaikh ()
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Imlak Shaikh: Management Development Institute Gurgaon

Economic Change and Restructuring, 2022, vol. 55, issue 1, No 14, 433-484

Abstract: Abstract This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We model the volatility of energy markets and demonstrate the effects of various phases of the pandemic outbreak (COVID-19) on the energy market. COVID-19-induced uncertainty indicators like the growth of the infection, economic policy uncertainty (EPU), and infectious diseases market volatility (IDsMV) have shown pronounced effects on energy markets’ historical volatility. The volatility of energy ETFs–stocks appears to be more resilient in line with S&P 500 energy stocks. WTI crude oil market has shown an unprecedented overreaction amid pandemic outbreaks and traded with an extreme volatility level. The investors’ sentiment in the energy market was factually higher on the tail events, indicating that fearful investors rushed toward put options and paid an excess premium to protect from unparalleled risk in the energy market.

Keywords: COVID-19; Energy market; ETF; Pandemic; Volatility index; Uncertainty (search for similar items in EconPapers)
JEL-codes: B26 G12 G14 G15 Q02 Q43 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (19)

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DOI: 10.1007/s10644-021-09320-0

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