IDEAS home Printed from https://ideas.repec.org/p/ces/ceswps/_11494.html

Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities

Author

Listed:
  • Evžen Kočenda
  • Daniel Bartušek

Abstract

Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyze almost 900 oil-related events from 1987 to 2022, categorizing them based on recurring characteristics. We quantify dynamic connectedness among energy commodities and apply a novel bootstrap-after-bootstrap testing procedure to identify 21 statistically significant historical events that triggered abrupt and enduring increases in volatility connectedness. Geopolitical events are more consistently associated with elevated connectedness than economic events, while natural events do not exhibit a similar impact. Events share prevailing characteristics: their negativity, unexpected nature, and the introduction of concerns about oil supply shortages.

Suggested Citation

  • Evžen Kočenda & Daniel Bartušek, 2024. "Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities," CESifo Working Paper Series 11494, CESifo.
    • Handle: RePEc:ces:ceswps:_11494
    as

    Download full text from publisher

    File URL: https://www.ifo.de/DocDL/cesifo1_wp11494.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kočenda, Evžen & Moravcová, Michala, 2019. "Exchange rate comovements, hedging and volatility spillovers on new EU forex markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 42-64.
    2. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
    3. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
    5. Mohaddes, Kamiar & Pesaran, M. Hashem, 2017. "Oil prices and the global economy: Is it different this time around?," Energy Economics, Elsevier, vol. 65(C), pages 315-325.
    6. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    7. Togonidze, Sophio & Kočenda, Evžen, 2022. "Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile," Economic Systems, Elsevier, vol. 46(3).
    8. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024. "Detecting statistically significant changes in connectedness: A bootstrap-based technique," Economic Modelling, Elsevier, vol. 140(C).

    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 & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
    2. Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
    3. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    4. Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
    5. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
    6. Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
    7. Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
    8. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
    9. Joanna Górka & Katarzyna Kuziak, 2024. "Dynamic Connectedness Among Alternative and Conventional Energy ETFs Based on the TVP-VAR Approach," Energies, MDPI, vol. 17(23), pages 1-29, November.
    10. Salem Adel Ziadat & Aktham Maghyereh, 2024. "Energy profile and oil shocks: a dynamic analysis of their impact on stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 757-780, September.
    11. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
    12. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    13. Christian Urom & Gideon Ndubuisi & Jude Ozor, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, CEPII research center, issue 165, pages 51-66.
    14. Roudari, Soheil, 2023. "Risk spillovers between S&P500, green bond, real estate, oil markets and dollar index," MPRA Paper 126830, University Library of Munich, Germany.
    15. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    16. Ben Cheikh, Nidhaleddine & Ben Naceur, Sami & Kanaan, Oussama & Rault, Christophe, 2021. "Investigating the asymmetric impact of oil prices on GCC stock markets," Economic Modelling, Elsevier, vol. 102(C).
    17. Ji, Hao & Naeem, Muhammad & Zhang, Jing & Tiwari, Aviral Kumar, 2024. "Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective," Energy Economics, Elsevier, vol. 136(C).
    18. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
    19. Zhang, Yaojie & Tian, Linxing & Zhang, Zhikai, 2025. "Petroleum volatility spillover index and stock return predictability," Energy Economics, Elsevier, vol. 150(C).
    20. Feng, Huiqun & Zhang, Jun & Guo, Na, 2023. "Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors," International Review of Financial Analysis, Elsevier, vol. 89(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:ces:ceswps:_11494. 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: Klaus Wohlrabe (email available below). General contact details of provider: https://edirc.repec.org/data/cesifde.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.