Asymmetric Impacts of the Energy Market on Stock Indexes in Emerging Economies: A Quantile- Based Approach for the Colombian Case

Impactos asimétricos del mercado energético en los índices bursátiles de economías emergentes

Juan Esteban Orrego-Reyes, Juan Manuel Candelo-Viáfara and Carlos Fernando Osorio-Andrade
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Juan Esteban Orrego-Reyes: Universidad del Valle
Juan Manuel Candelo-Viáfara: Universidad del Valle
Carlos Fernando Osorio-Andrade: Universidad del Valle

Revista de Economía del Rosario, 2025, vol. 27, issue 2, No 2, 40 pages

Abstract: This study analyzes the relationship between energy markets and stock returns in an emerging economy dependent on the energy sector and a shallow capital market. Using a quantile approach, the nonlinear and asymmetric effects of oil, natural gas, and electricity prices on three stock indices are examined. Results show that oil exerts a significant, heterogeneous impact, especially in the upper quantiles of the return distribution, suggesting greater market sensitivity in contexts of high profitability or volatility. In contrast, natural gas presents more selective effects, and electricity shows no systematic relationship. Temporal variations in effect intensity are observed, particularly during crises and global uncertainty.

Este estudio analiza la relación entre los mercados energéticos y los retornos bursátiles en una economía emergente con alta dependencia del sector energético. Usando un enfoque cuantílico, se examinan los efectos no lineales y asimétricos de los precios del petróleo, gas natural y electricidad sobre tres índices bursátiles. Los resultados muestran que el petróleo tiene un impacto significativo, especialmente en contextos de alta rentabilidad o volatilidad. El gas natural presenta efectos más selectivos y la electricidad no muestra una relación clara. También se identifican variaciones temporales en la intensidad de los efectos durante crisis económica.

Keywords: mercados energéticos; retornos bursátiles; economías emergentes; enfoque cuantílico (search for similar items in EconPapers)
JEL-codes: E44 G10 G12 O54 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:col:000151:022168

DOI: 10.12804/revistas.urosario.edu.co/e

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