scholarly journals Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model

Mathematics ◽  
2020 ◽  
Vol 8 (9) ◽  
pp. 1534
Author(s):  
Arthur J. Lin ◽  
Hai-Yen Chang
Keyword(s):  
Crude Oil ◽  
Equity Market ◽  
Volatility Transmission ◽  
China Trade ◽  
Bulk Shipping ◽  
Energy Fund ◽  
World Energy ◽  
Oil Markets ◽  
High Volatility ◽  
Trade War

Oil continues to be a major source of world energy, but oil prices and funds have experienced high volatility over the last decade. This study applies the generalized autoregressive conditional heteroskedasticity-mixed-data sampling (GARCH-MIDAS) model on data spanning 1 July 2014 to 30 April 2020 to examine volatility transmission from the equity, bulk shipping, commodity, currency, and crude oil markets to the United States Oil Fund (USO) and BlackRock World Energy Fund A2 (BGF). By dividing the sample into two subsamples, we find a significant volatility transmission from the equity market to the oil ETF and energy fund both before and after the 2018 U.S.–China trade war. The volatility transmission from the bulk shipping, commodity, and crude oil markets turns significant for the oil ETF and energy fund after the 2018 U.S.–China trade war, extending into the COVID-19 pandemic in early 2020. The results suggest that investors can use the equity market to predict the movement of oil and energy funds during both tranquil and turmoil periods. Moreover, investors can use bulk shipping, commodity, and crude oil markets in addition to the equity market to forecast oil and energy funds’ volatility during the turmoil periods. This paper benefits investors against the high volatility of the energy funds.

Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

Volatility transmission across international markets amid COVID 19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hechem Ajmi ◽  
Nadia Arfaoui ◽  
Karima Saci
Keyword(s):  
Crude Oil ◽  
International Markets ◽  
The Novel ◽  
Data Set ◽  
Health Crisis ◽  
Content Type ◽  
Volatility Transmission ◽  
Oil Markets ◽  
Novel Coronavirus ◽  
Death Cases

Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized autoregressive conditional heteroskedasticity model (BEKK-GARCH) is used to assess volatility transmission across the examined markets. The sample is divided as follows. The first period ranging from 02/01/2019 to 10/03/2020 defines the pre-COVID-19 crisis. The second period is from 11/03/2020 to 05/10/2020, representing the COVID-19 crisis period. Then, a robustness test is used using exponential GARCH models after including an exogenous variable capturing the growth of COVID-19 confirmed death cases worldwide with the aim to test the accuracy of the VAR-BEKK-GARCH estimated results. Findings Results indicate that the interconnectedness among the examined market has been intensified during the COVID-19 crisis, proving the lack of hedging opportunities. It is also found that stocks and Gold markets lead the crude oil market especially during the COVID-19 crisis, which explains the freefall of the crude oil price during the health crisis. Similarly, results show that Gold is most likely to act as a diversifier rather than a hedging tool during the current health crisis. Originality/value Although the recent studies in the field focused on analyzing the relationships between different markets during the first quarter of 2020, this study considers a larger data set with the aim to assess the volatility transmission across the examined international markets Amid the COVID-19 crisis, while it shows the most significant impact on various financial markets compared to other diseases.

APPLYING GAME THEORY TO INTERNATIONAL RELATIONS- THE CASE OF US-SAUDI ARABIA CRUDE OIL PRICE WAR & US-CHINA TRADE WAR

2020 ◽  
Vol 5 (11) ◽  
pp. 3513-3577
Author(s):  
Ishaan Roy ◽  
Yash Jain ◽  
Manmath Agarwal ◽  
Jasraj Kripalani ◽  
Tanvi Sarwate ◽  
...  
Keyword(s):  
Game Theory ◽  
Saudi Arabia ◽  
International Relations ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
China Trade ◽  
Trade War ◽  
Price War

The Long-Term Dynamics in Crude Oil Prices

2012 ◽  
Vol 260-261 ◽  
pp. 846-851
Author(s):  
Bao Ming Qiao ◽  
Si Zhang ◽  
Hao Jin
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Increasing Trend ◽  
Empirical Performance ◽  
High Volatility ◽  
Historical Data Analysis ◽  
Jump Diffusion Model

This paper reviews a long-term crude oil markets and trend of dynamic prices during 1986-2011. Based on the hypothesis that crude oil prices dynamics reflect the activity of a competitive market, a jump diffusion model is investigated to examine the empirical performance in a time series. Historical data analysis shows that crude oil prices were characterized by high volatility, high intensity jumps, and strong upward drift, and were concomitant with underlying fundamentals of crude oil markets and world economy. Furthermore, the model forecast that crude oil prices will still have an increasing trend, stay in jump for the next couple of years.

Does US-China trade war affect the Brent crude oil price? An ARIMAX forecasting approach

2021 ◽  
Author(s):  
Ilma Amira Rahmayanti ◽  
Christopher Andreas ◽  
Siti Maghfirotul Ulyah
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
China Trade ◽  
Trade War

Structural changes and volatility transmission in crude oil markets

2011 ◽  
Vol 390 (23-24) ◽  
pp. 4317-4324 ◽  
Author(s):  
Sang Hoon Kang ◽  
Chongcheul Cheong ◽  
Seong-Min Yoon
Keyword(s):  
Crude Oil ◽  
Structural Changes ◽  
Volatility Transmission ◽  
Oil Markets

Volatility Transmission in Indian Banking Sector

2019 ◽  
Vol 118 (7) ◽  
pp. 161-165
Author(s):  
Cyano Prem ◽  
Dr M. Babu ◽  
C. Hariharan ◽  
R. Muneeswaran
Keyword(s):  
Financial Markets ◽  
Banking Sector ◽  
Bad News ◽  
Private Bank ◽  
Volatility Transmission ◽  
The People ◽  
New Information ◽  
High Volatility ◽  
The Government ◽  
Awareness Programme

Any new information about the economy is transmitted fast and it may influence the financial markets, positively or negatively. The present study used GARCH (1, 1) and EGARCH models, to investigate the volatility of Indian banking sectors indices, namely, Nifty PSU Index and Nifty Private Bank Index of NSE India Ltd. The result of the study confirmed that the high volatility was found in both the bank indices. At the same time, negative information about Indian economics did affect the PSU and Private Bank Sector indices during the study period. Finally, the study concluded that bad news travels fast and it increased volatility more than good. Hence the Government should give more information and awareness programme to the people before the implementation of any economic policy.

Editor in Chief’s Note on the Green Hydrogen Fuel from Solar / Wind Power

2019 ◽  
Vol 2 (1) ◽  
Author(s):  
Seyed Ehsan Hosseini
Keyword(s):  
Solar Wind ◽  
Crude Oil ◽  
Fossil Fuels ◽  
Sustainable Energy ◽  
Green Energy ◽  
Hydrogen Fuel ◽  
Fuel Production ◽  
Crude Oil Prices ◽  
Trade War ◽  
The Cost

Renewable and sustainable energy has an evolving story as the ongoing trade war in the word is influencing crude oil prices. Moreover, the global warming is an inevitable consequence of the worldwide increasing rate of fossil fuel utilization which has persuaded the governments to invest on the clean and sustainable energy resources. In recent years, the cost of green energy has tumbled, making the price of renewables competitive to the fossil fuels. Although, the hydrogen fuel is still extremely expensive compared to the crude oil price, investigations about clean hydrogen fuel production and utilization has been developed significantly which demonstrate the importance of the hydrogen fuel in the future. This article aims to scrutinize the importance of green hydrogen fuel production from solar/wind energy.

Sign in / Sign up

Export Citation Format

Share Document