Economics at your fingertips  

Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic

Riccardo De Blasis () and Filippo Petroni ()
Additional contact information
Riccardo De Blasis: Department of Finance, Management and Technology, LUM University, 70010 Casamassima, Italy
Filippo Petroni: Department of Management, Università Politecnica delle Marche, 60121 Ancona, Italy

Energies, 2021, vol. 14, issue 9, 1-16

Abstract: The COVID-19 pandemic is having a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable energies markets has been twofold: from one side, the predictability of volatility has strongly decreased; secondly, the linkages of the price time series have been modified. In this paper, by using DCC-GARCH and Price Leadership Share methodology, we can investigate the changes in the influences between standard energies and renewable energies markets by analyzing one-minute time series of West Texas Intermediate crude oil futures contract (WTI), the Brent crude oil futures contract (BRENT), the STOXX Europe 600 oil & gas index (SXEV), and the European renewable energy index (ERIX). Our results confirm volatility spillover between the time series. However, when assessing the accuracy of the predictability of the DCC-GARCH model, the results show that the model fails its prediction in the period of higher instability. Besides, we found that price leadership has been strongly influenced by the virus spreading stages. These results have been obtained by dividing the period between September 2019 and January 2021 into 6 subperiods according to the pandemic stages.

Keywords: COVID-19; crude oil; European renewable energy; DCC-GARCH; price leadership share (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: 2021
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) (application/pdf) (text/html)

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:

Access Statistics for this article

Energies is currently edited by Prof. Dr. Enrico Sciubba

More articles in Energies from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2021-09-11
Handle: RePEc:gam:jeners:v:14:y:2021:i:9:p:2608-:d:548090