%0 DATA
%A Eric, Olson
%A Andrew, Vivian
%A Mark, Wohar
%D 2017
%T The relationship between energy and equity markets: evidence from volatility impulse response functions
%U https://repository.lboro.ac.uk/articles/The_relationship_between_energy_and_equity_markets_evidence_from_volatility_impulse_response_functions/9502121
%2 https://repository.lboro.ac.uk/ndownloader/files/17128856
%K Volatility impulse response functions
%K Dynamic hedge ratios
%K Volatility spillovers
%K Conditional correlation
%K Commodity market
%K Equity index
%X This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we find that low S&P 500 returns cause substantial increases in the volatility of the energy index; however, we find only a weak response from S&P 500 volatility to energy price shocks. Moreover, our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument.