Leveraged Bootstrap Test of Volatility: A Novel Approach to the Energy Consumption and Economic Growth Puzzle

Kuo-Hao Lee, Jonathan Ohn and Evren Eryilmaz

International Journal of Economics and Finance, 2017, vol. 9, issue 9, 117-122

Abstract: The main purpose of this research is to examine the causal relationship between the Energy industry and nine other industries by use of volatility instead of returns. Existing literatures find a causal relationship by use of stock returns, however, we find that using volatility reveals a causal relationship that might not otherwise be revealed through returns alone. Since the existing literature shows that volatility of stock prices is informative, we apply a Granger causality test by use of a leveraged bootstrap test developed by Hacker and Hatemi (2006) to investigate the causal behavior of the volatility. Our results show that volatility of the Energy industry causes volatility in two other industries- Industrials and Health Care. Also, the Energy industry market is affected by the Materials, Consumer Staples and Utilities industries. This finding is substantially different from the findings of previous research, and provides a novel approach to analyzing and solving the energy consumption and economic growth puzzle.

Keywords: Granger causality; bootstrap; volatility; S&P 500 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ccsenet.org/journal/index.php/ijef/article/view/47537/38152 (application/pdf)
http://ccsenet.org/journal/index.php/ijef/article/view/47537 (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:ibn:ijefaa:v:9:y:2017:i:9:p:117-122

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().