Olson_Vivian_Wohar_Commodity_Equity_Spillovers_01-14-2014 - Energy Economics_12.pdf (467.5 kB)

The relationship between energy and equity markets: evidence from volatility impulse response functions

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journal contribution
posted on 03.03.2017, 11:32 by Eric Olson, Andrew Vivian, Mark Wohar
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Energy Economics

Volume

43

Pages

297 - 305

Citation

OLSON, E., VIVIAN, A.J. and WOHAR, M.E., 2014. The relationship between energy and equity markets: evidence from volatility impulse response functions. Energy Economics, 43, pp.297-305

Version

SMUR (Submitted Manuscript Under Review)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2014

Notes

This paper was submitted for publication in the journal Energy Economics.

Language

en

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