The link between energy prices and stock markets in European Union countries

Robert Adrian Grecu, Alexandru Adrian Cramer, Daniel Traian Pele and Stefan Lessmann

The North American Journal of Economics and Finance, 2025, vol. 78, issue C

Abstract: The paper examines the relationship between the energy sector and the stock market, specifically analyzing how fluctuations in energy prices, such as oil and gas, influence the returns of major European stock indices. The analysis is conducted at the level of European Union (EU) countries, considering both individual country-specific dynamics and group-level effects based on various criteria, such as geographical region and industrial development.

Keywords: Energy market; Capital market; DCC-GARCH; TVP-VAR; Markov-switching (search for similar items in EconPapers)
JEL-codes: E44 G10 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000609

DOI: 10.1016/j.najef.2025.102420

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