Analyzing the impact of energy prices on US stock market volatility

Abbas Khan, Abdul Razzaq and Muhammad Abbas Khan

Journal of Energy Markets

Abstract: This study investigates the time-varying impact of energy prices on the US stock market, using monthly data from January 1986 to December 2023. The research explores the interplay between crude oil, natural gas and electricity prices and stock returns through a maximal overlap discrete wavelet transform-based quantile regression analysis. This study extensively examines alternative energy prices along with those of crude oil, demonstrating that energy shocks have asymmetric and time-varying impacts on equity returns. The findings reveal distinct supply-and-demand-driven effects. While crude oil prices exhibit an asymmetric relationship with stock returns, with rising prices negatively affecting equity markets in the long run, natural gas and electricity prices demonstrate significant supply-driven effects, mitigating the adverse impacts of crude oil price fluctuations. These results emphasize the importance of alternative energy sources such as shale gas and renewables in moderating oil price shocks, and they highlight the role of energy price volatility in shaping market behavior.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/node/7962838 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:7962838

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine ().