EconPapers    
Economics at your fingertips  
 

Volatility spillovers for energy prices: A diagonal BEKK approach

Mehdi Zolfaghari, Hamed Ghoddusi and Fatemeh Faghihian

Energy Economics, 2020, vol. 92, issue C

Abstract: We examine the relationship between return and volatility as well as the covolatility spillover for energy, foreign currency, and stock markets using the diagonal BEKK model. Using daily crude oil, natural gas, and the coal prices as proxies for energy prices, the S&P500 index as a proxy for the U.S. stock market, and the EUR/USD exchange rate as a proxy for the exchange rate, we find robust evidence for the volatility spillover effects among the three markets. Also, in the 16 out of 20 pairwise relationships in the five markets, there are significant negative covolatility spillover effects. In the four pairs involving coal, there are positive and significant covolatility spillover effects. We conclude that the energy markets and the stock market have stronger covolatility spillovers than others.

Keywords: Exchange rate; Stock market; Energy Price; Diagonal BEKK model (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988320303054
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:92:y:2020:i:c:s0140988320303054

DOI: 10.1016/j.eneco.2020.104965

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 ().

 
Page updated 2021-07-24
Handle: RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054