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Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 23 [Issue:] 6 [Year:] 2022 [Pages:] 1351-1376
Verlag: 
Vilnius Gediminas Technical University, Vilnius
Zusammenfassung: 
This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its constituents (global energy index, Brent, heating oil, natural gas, and petroleum). The causalityin-quantiles test and the quantile-on-quantile regression technique were employed on daily data covering the period between April 2012 and March 2022. The findings evidenced asymmetries and heterogeneity in the causal effects of global uncertainty and market volatilities on energy markets. For all uncertainty and volatility measures, we found strong negative relationships with energy commodities at stressed conditions, signalling some hedging benefits for market participants. The current research is among the first investigations to explore the asymmetric relationships between major uncertainty and volatility indices, as well as global energy and its constituents. Essential portfolio implications of our findings are discussed.
Schlagwörter: 
energy commodities
energy markets
uncertainty indices
volatility indices
causality-in-quantiles
quantile-on-quantile regression
JEL: 
G01
G10
G18
Q40
Q41
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