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AuthorBenlagha, Noureddine
AuthorKarim, Sitara
AuthorNaeem, Muhammad Abubakr
AuthorLucey, Brian M.
AuthorVigne, Samuel A.
Available date2023-01-18T08:39:00Z
Publication Date2022
Publication NameEnergy Economics
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.eneco.2022.106348
URIhttp://hdl.handle.net/10576/38544
AbstractThe surmounted environmental and energy challenges have motivated this study to explore the connectedness nexus between oil/renewable energy and stock markets for oil-exporting (importing) countries. We utilize the dynamic conditional correlation (DCC-GARCH) connectedness framework to compare the connectedness of oil/renewable energy with stock markets. Our results showcase higher total connectedness between renewable energy and stock markets. We find increased connectedness during three major pandemics (Swine Flu, EBOLA, and COVID-19). We performed a regression analysis that highlighted the impact of economic and financial uncertainties on connectedness as an additional analysis. The addition of dummy variables for three major pandemics indicates that COVID-19 significantly impacted the connectedness between oil/renewable energy and stock markets. For the robustness of our results, we employed time-varying vector autoregressions (TVP-VAR) connectedness framework to showcase that our results remain qualitatively similar and robust to different specifications. We draw useful implications for oil exporting and oil importing countries in particular, and we draft ramifications for investors, portfolio managers, policymakers, and macroprudential bodies in general. 2022 Elsevier B.V.
Languageen
PublisherElsevier
SubjectCrude oil
Global pandemics
Oil importing and exporting stocks
Renewable energy
TitleRisk connectedness between energy and stock markets: Evidence from oil importing and exporting countries
TypeArticle
Volume Number115
dc.accessType Abstract Only


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