Energy in turmoil: Industry resilience to uncertainty during the global energy crisis

We investigate the resilience of global industry groups to energy price uncertainty (ENPU) during the global energy crisis. Diversified financials reflect the greatest return response, being vulnerable to investment delays and discretionary spending, whereas industry groups producing necessities are most resilient. Volatility triggering is highest for automobiles & components due to ambiguous risk-return prospects requiring greater investor learning whereas the food & staples retailing group is most resilient. Differences in ranked return and volatility responses point towards distinct transmission channels. We expound a measure, the ‘Overall Impact of Uncertainty’ (OIU), that considers both effects jointly and reflects a dominant effect. According to the OIU, the most and least impacted groups are automobiles & components and food & staples retailing, respectively. Energy prices have a relatively weak impact relative to ENPU, suggesting that ENPU reflects a broader transmission channel, encompassing other forms of uncertainty.