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Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis

Author

Listed:
  • Kostas Andriosopoulos

    (ESCP Europe)

  • Emilios Galariotis

    (Audencia Business School - Audencia Business School)

  • Spyros Spyrou

Abstract

The aim of this paper is to investigate if and to what extent events in financially troubled EU markets (Greece, Ireland and Portugal) affected energy prices during the EU financial crisis. More specifically, (i) we test for contagion effects of bond prices on energy/commodity prices, (ii) we examine whether the nature of energy price volatility is affected and (iii) we investigate whether bond volatility from the financially distressed EU markets spills over to energy/commodity return volatility. Our results indicate the existence of significant contagion effects; notable changes in the nature of energy/commodity volatility during the EU financial crisis; and spill-over effects. The results are robust to the use of short-term yields instead of long-term bond price changes, and to the inclusion of Spain and Italy in the sample.

Suggested Citation

  • Kostas Andriosopoulos & Emilios Galariotis & Spyros Spyrou, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Post-Print hal-01578056, HAL.
  • Handle: RePEc:hal:journl:hal-01578056
    DOI: 10.1016/j.eneco.2017.06.023
    Note: View the original document on HAL open archive server: http://hal-audencia.archives-ouvertes.fr/hal-01578056
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