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
journal contribution
posted on 2017-03-03, 11:32 authored by Eric Olson, Andrew VivianAndrew Vivian, Mark WoharThis 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 EconomicsVolume
43Pages
297 - 305Citation
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.297-305Version
- 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
2014Notes
This paper was submitted for publication in the journal Energy Economics.Publisher version
Language
- en