Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries

Noureddine Benlagha (), Sitara Karim, Muhammad Abubakr Naeem, Brian Lucey and Samuel A. Vigne

Energy Economics, 2022, vol. 115, issue C

Abstract: The surmounted environmental and energy challenges have motivated this study to explore the connectedness nexus between oil/renewable energy and stock markets for oil-exporting (importing) countries. We utilize the dynamic conditional correlation (DCC-GARCH) connectedness framework to compare the connectedness of oil/renewable energy with stock markets. Our results showcase higher total connectedness between renewable energy and stock markets. We find increased connectedness during three major pandemics (Swine Flu, EBOLA, and COVID-19). We performed a regression analysis that highlighted the impact of economic and financial uncertainties on connectedness as an additional analysis. The addition of dummy variables for three major pandemics indicates that COVID-19 significantly impacted the connectedness between oil/renewable energy and stock markets. For the robustness of our results, we employed time-varying vector autoregressions (TVP-VAR) connectedness framework to showcase that our results remain qualitatively similar and robust to different specifications. We draw useful implications for oil exporting and oil importing countries in particular, and we draft ramifications for investors, portfolio managers, policymakers, and macroprudential bodies in general.

Keywords: Crude oil; Renewable energy; Oil importing and exporting stocks; Global pandemics (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988322004777
Full text for ScienceDirect subscribers only

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:eee:eneeco:v:115:y:2022:i:c:s0140988322004777

DOI: 10.1016/j.eneco.2022.106348

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().