On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Dan Armeanu (), Camelia Cătălina Joldeş and Ştefan Gherghina
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Camelia Cătălina Joldeş: Department of Finance, The Bucharest University of Economic Studies, 6 Piata Romana, Bucharest 010374, Romania
Authors registered in the RePEc Author Service: Camelia Catalina Joldes ()

Energies, 2019, vol. 12, issue 8, 1-21

Abstract: This paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

Keywords: energy market; capital market; cointegration; VECM; ARDL; Granger causality; CO 2; WTI; BET (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jeners:v:12:y:2019:i:8:p:1463-:d:223779

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