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Can Uncertainty Due to Pandemic Predict Asia-Pacific Energy Stock Markets?

Author

Listed:
  • Ismail O. Fasanya
  • Oluwatomisin J. Oyewole
  • Johnson A. Oliyide

    (School of Economics and Finance, University of the Witwatersrand, Johannesburg, South Africa)

Abstract

In this note, we examine the predictability of the energy stock markets using the diseases-based uncertainty index within a nonparametric framework. The nonparametric causality test reveals that energy stocks’ predictability driven by pandemic uncertainty is prevalent around the lower and upper quantiles for both the full sample of data and for the COVID-19 sample period.

Suggested Citation

  • Ismail O. Fasanya & Oluwatomisin J. Oyewole & Johnson A. Oliyide, 2021. "Can Uncertainty Due to Pandemic Predict Asia-Pacific Energy Stock Markets?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(1), pages 1-7.
    • Handle: RePEc:ayb:jrnael:34
    DOI: 2021/08/10
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    References listed on IDEAS

    as
    1. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark E. Wohar, 2018. "Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries," The European Journal of Finance, Taylor & Francis Journals, vol. 24(4), pages 333-346, March.
    3. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Stephen J. Terry, 2020. "COVID-Induced Economic Uncertainty," NBER Working Papers 26983, National Bureau of Economic Research, Inc.
    4. Ismail Fasanya & Oluwatomisin Oyewole, 2021. "Infectious Diseases-Energy Futures Nexus - A Quantile-on-Quantile Approach," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
    5. Yezhou Sha & Susan Sunila Sharma, 2020. "Research on Pandemics Special Issue of the Journal Emerging Markets Finance and Trade," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2133-2137, August.
    6. Susan Sunila Sharma & Yezhou Sha, 2020. "Part A: Special Section on COVID-19 Research," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(15), pages 3551-3553, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Niu, Jing & Ma, Chao & Wang, Yunpeng & Chang, Chun-Ping & Wang, Haijie, 2022. "The pricing of China stock index options based on monetary policy uncertainty," Journal of Asian Economics, Elsevier, vol. 81(C).
    2. Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    3. Wang, Chih-Wei & Lee, Chien-Chiang & Chen, Ming-Chien, 2022. "The effects of economic policy uncertainty and country governance on banks' liquidity creation: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).

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    More about this item

    Keywords

    energy markets; infectious diseases uncertainty; predictability;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I1 - Health, Education, and Welfare - - Health
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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