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Title: The relationship between energy and equity markets: evidence from volatility impulse response functions
Authors: Olson, Eric
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Volatility impulse response functions
Dynamic hedge ratios
Volatility spillovers
Conditional correlation
Commodity market
Equity index
Issue Date: 2014
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
Abstract: 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.
Description: This paper was submitted for publication in the journal Energy Economics.
Version: Submitted for publication
DOI: 10.1016/j.eneco.2014.01.009
URI: https://dspace.lboro.ac.uk/2134/24284
Publisher Link: http://dx.doi.org/10.1016/j.eneco.2014.01.009
Appears in Collections:Published Articles (Business)

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