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Uncertainty Due to Infectious Diseases and Energy Market Volatility

Author

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  • Afees Salisu
  • Idris Adediran

    (Asia Pacific Applied Economics Association)

Abstract

Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.

Suggested Citation

  • Afees Salisu & Idris Adediran, 2021. "Uncertainty Due to Infectious Diseases and Energy Market Volatility," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
    • Handle: RePEc:ayb:jrnerl:17
    DOI: 2021/06/16
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    References listed on IDEAS

    as
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    8. Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017. "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 141-150.
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    Cited by:

    1. Afees A. Salisu & Ahamuefula E. Ogbonna & Tirimisiyu F. Oloko & Idris A. Adediran, 2021. "A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic," Sustainability, MDPI, vol. 13(6), pages 1-18, March.
    2. Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021. "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Kai-Hua Wang & Chi-Wei Su, 2021. "Asymmetric Link Between COVID-19 and Fossil Energy Prices," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(4), pages 1-5.
    4. Bao Cong Nguyen To & Tam Van Thien Nguyen & Nham Thi Hong Nguyen & Hoai Thu Ho, 2022. "Responses of the International Bond Markets to COVID-19 Containment Measures," JRFM, MDPI, vol. 15(3), pages 1-11, March.
    5. Afees A. Salisu & Lukman Lasisi & Abeeb Olaniran, 2021. "Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.

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