Volatility Spillovers in Emerging Markets: Oil Shocks, Energy, Stocks, and Gold

Ana Alzate-Ortega, Natalia Garzón and Jesús Molina-Muñoz ()
Additional contact information
Ana Alzate-Ortega: School of Management, Universidad del Rosario, Bogota 111221, Colombia
Natalia Garzón: School of Management, Universidad del Rosario, Bogota 111221, Colombia
Jesús Molina-Muñoz: School of Management, Universidad del Rosario, Bogota 111221, Colombia

Energies, 2024, vol. 17, issue 2, 1-19

Abstract: This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of supply and demand oil shocks on emerging energy markets, stocks of emerging markets, and gold and exploring the impact of unpredictable oil events on the degree of connectedness among these markets. We show that the effect of supply oil price disturbances drives volatility spillovers in emerging markets with prominent medium- and long-term effects, unlike demand oil price unanticipated changes, particularly during turbulent periods such as the 2008 subprime crisis, the COVID-19 pandemic, and the 2015 oil price crash. These volatility spillover effects are influenced by a marked relationship between supply oil disturbances and emerging energy markets. We also expose that the COVID-19 pandemic volatility spillover consequences in emerging markets are unprecedented compared to the 2008 financial crisis. This can be attributed to the different nature of the related oil price disturbances and financial crises. Overall, the findings highlight the role of crude oil supply shocks as drivers not only of volatility dynamics in energy and equity emerging markets but also of financial connectedness patterns in these economies.

Keywords: emerging markets; oil shocks; volatility spillovers (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: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1996-1073/17/2/378/pdf (application/pdf)
https://www.mdpi.com/1996-1073/17/2/378/ (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: https://EconPapers.repec.org/RePEc:gam:jeners:v:17:y:2024:i:2:p:378-:d:1317713

Access Statistics for this article

Energies is currently edited by Ms. Agatha Cao

More articles in Energies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().