Uncertainty Due to Infectious Diseases and Energy Market Volatility

Afees Salisu and Idris Adediran

Energy RESEARCH LETTERS, 2021, vol. 1, issue 1, 1-4

Abstract: 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.

Keywords: energy markets; pandemics; volatility; predictability (search for similar items in EconPapers)
JEL-codes: O (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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