IDEAS home Printed from https://ideas.repec.org/a/col/000151/022168.html

Asymmetric Impacts of the Energy Market on Stock Indexes in Emerging Economies: A Quantile- Based Approach for the Colombian Case
[Impactos asimétricos del mercado energético en los índices bursátiles de economías emergentes]

Author

Listed:
  • Juan Esteban Orrego-Reyes

    (Universidad del Valle)

  • Juan Manuel Candelo-Viáfara

    (Universidad del Valle)

  • Carlos Fernando Osorio-Andrade

    (Universidad del Valle)

Abstract

This study analyzes the relationship between energy markets and stock returns in an emerging economy dependent on the energy sector and a shallow capital market. Using a quantile approach, the nonlinear and asymmetric effects of oil, natural gas, and electricity prices on three stock indices are examined. Results show that oil exerts a significant, heterogeneous impact, especially in the upper quantiles of the return distribution, suggesting greater market sensitivity in contexts of high profitability or volatility. In contrast, natural gas presents more selective effects, and electricity shows no systematic relationship. Temporal variations in effect intensity are observed, particularly during crises and global uncertainty. Este estudio analiza la relación entre los mercados energéticos y los retornos bursátiles en una economía emergente con alta dependencia del sector energético. Usando un enfoque cuantílico, se examinan los efectos no lineales y asimétricos de los precios del petróleo, gas natural y electricidad sobre tres índices bursátiles. Los resultados muestran que el petróleo tiene un impacto significativo, especialmente en contextos de alta rentabilidad o volatilidad. El gas natural presenta efectos más selectivos y la electricidad no muestra una relación clara. También se identifican variaciones temporales en la intensidad de los efectos durante crisis económica.

Suggested Citation

  • Juan Esteban Orrego-Reyes & Juan Manuel Candelo-Viáfara & Carlos Fernando Osorio-Andrade, 2025. "Asymmetric Impacts of the Energy Market on Stock Indexes in Emerging Economies: A Quantile- Based Approach for the Colombian Case [Impactos asimétricos del mercado energético en los índices bursátiles de economías emergentes]," Revista de Economía del Rosario, Universidad del Rosario, vol. 27(2), pages 1-40.
    • Handle: RePEc:col:000151:022168
    DOI: 10.12804/revistas.urosario.edu.co/e
    as

    Download full text from publisher

    File URL: https://revistas.urosario.edu.co/index.php/economia/article/view/15508
    Download Restriction: no
    File URL: https://libkey.io/10.12804/revistas.urosario.edu.co/e?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Villa-Loaiza, Carlos & Taype-Huaman, Irvin & Benavides-Franco, Julián & Buenaventura-Vera, Guillermo & Carabalí-Mosquera, Jaime, 2023. "Does climate impact the relationship between the energy price and the stock market? The Colombian case," Applied Energy, Elsevier, vol. 336(C).
    2. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
    2. Hu, Lei & Song, Min & Wen, Fenghua & Zhang, Yun & Zhao, Yunning, 2025. "The impact of climate attention on risk spillover effect in energy futures markets," Energy Economics, Elsevier, vol. 141(C).
    3. Nader Trabelsi & Aviral Kumar Tiwari & Buhari Dogan, 2024. "Water and Emerging Energy Markets Nexus: Fresh Evidence from Advanced Causality and Correlation Approaches," Energies, MDPI, vol. 17(13), pages 1-22, June.
    4. Ha, Le Thanh & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
    5. Salim Lahmiri, 2025. "Causality Between Brent and West Texas Intermediate: The Effects of COVID-19 Pandemic and Russia–Ukraine War," Commodities, MDPI, vol. 4(1), pages 1-14, February.
    6. Saif-Alyousfi, Abdulazeez Y.H., 2025. "Energy shocks and stock market returns under COVID-19: New insights from the United States," Energy, Elsevier, vol. 316(C).
    7. Wang, Xiaoxuan & Gao, Xiangyun & Wu, Tao & Sun, Xiaotian, 2022. "Dynamic multiscale analysis of causality among mining stock prices," Resources Policy, Elsevier, vol. 77(C).
    8. Gargallo, Pilar & Lample, Luis & Miguel, Jesús A. & Salvador, Manuel, 2024. "Sequential management of energy and low-carbon portfolios," Research in International Business and Finance, Elsevier, vol. 69(C).
    9. Sun, Luxi & Wang, Zhili & Kong, Shuning & Xia, Xiaohua, 2024. "Correlation and spillover effects between the carbon market and China's stock market: Evidence from wavelet and quantile coherency network analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1175-1196.
    10. Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    11. Aktham Maghyereh & Hussein Abdoh, 2022. "Global financial crisis versus COVID‐19: Evidence from sentiment analysis," International Finance, Wiley Blackwell, vol. 25(2), pages 218-248, August.
    12. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
    13. Waheed Ullah Shah & Ibtissem Missaoui & Ijaz Younis & Xiyu Liu, 2025. "Climate risk co-movements effect on South Asia’s emerging stock market for financial inclusion," Future Business Journal, Springer, vol. 11(1), pages 1-20, December.
    14. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
    15. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    16. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    17. Kliber, Agata & Łęt, Blanka, 2022. "Degree of connectedness and the transfer of news across the oil market and the European stocks," Energy, Elsevier, vol. 239(PC).
    18. Yimin Wu & Rosmanjawati Abdul Rahman & Qiuju Yu, 2025. "Can the price fluctuations of Shanghai crude oil futures affect Asian financial markets? Evidence from the time and frequency dynamics analysis of spillover connectedness," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 24(2), pages 241-269, May.
    19. Huang, Yujie & Shu, Mingyu & Liu, Fengming & Liu, Baoliu & Huang, Chen & Wang, Shun, 2025. "Nonlinear heterogeneity impact of El Niño-Southern Oscillation on energy markets: A global perspective analysis," Energy, Elsevier, vol. 333(C).
    20. Zaier, Leila Hedhili & Mokni, Khaled & Scherer, Robert F. & Ben Jabeur, Sami, 2025. "Media coverage of climate change risks and the performance of clean versus dirty energy market," Journal of Commodity Markets, Elsevier, vol. 40(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000151:022168. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Facultad de Economía (email available below). General contact details of provider: https://edirc.repec.org/data/ferosco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.