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Volatility spillovers across Russian oil and gas sector. Evidence of the impact of global markets and extraordinary events

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  • Balash, Vladimir
  • Faizliev, Alexey

Abstract

This paper provides empirical evidence on the evolution of the impact of external shocks on the volatility connectedness of Russian oil and gas companies’ stock prices. We examine how the spillover structure has changed following the outbreak of COVID-19, as well as under the impact of the 2022–2023 events.

Suggested Citation

  • Balash, Vladimir & Faizliev, Alexey, 2024. "Volatility spillovers across Russian oil and gas sector. Evidence of the impact of global markets and extraordinary events," Energy Economics, Elsevier, vol. 129(C).
    • Handle: RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007004
    DOI: 10.1016/j.eneco.2023.107202
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    More about this item

    Keywords

    Volatility spillover; Stock markets; Commodity markets; Economic and political crises; Augmented vector autoregressive models; COVID-19; Russian–Ukrainian military shock;
    All these 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
    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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