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Hourly Oil Price Volatility - The Role of COVID-19

Author

Listed:
  • Neluka Devpura
  • Paresh Kumar Narayan

    (Asia Pacific Applied Economics Association)

Abstract

In this paper, we study the evolution of hourly oil price volatility. Using multiple measures of oil price volatility, we conclude that volatility increased following the onset of COVID-19. After controlling for conventional predictors of oil price volatility, we show that COVID-19 cases and deaths led to an increase in daily oil price volatility by between 8% and 22%. Our results pass a battery of robustness tests.

Suggested Citation

  • Neluka Devpura & Paresh Kumar Narayan, 2021. "Hourly Oil Price Volatility - The Role of COVID-19," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
    • Handle: RePEc:ayb:jrnerl:22
    DOI: 2021/06/16
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    References listed on IDEAS

    as
    1. Narayan, Paresh Kumar, 2019. "Can stale oil price news predict stock returns?," Energy Economics, Elsevier, vol. 83(C), pages 430-444.
    2. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    3. Narayan, Paresh Kumar & Narayan, Seema, 2007. "Modelling oil price volatility," Energy Policy, Elsevier, vol. 35(12), pages 6549-6553, December.
    4. Paresh Kumar Narayan & Stephan Popp, 2010. "A new unit root test with two structural breaks in level and slope at unknown time," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1425-1438.
    5. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
    6. Alaali, Fatema, 2020. "The effect of oil and stock price volatility on firm level investment: The case of UK firms," Energy Economics, Elsevier, vol. 87(C).
    7. Paresh Kumar Narayan & Stephan Popp, 2013. "Size and power properties of structural break unit root tests," Applied Economics, Taylor & Francis Journals, vol. 45(6), pages 721-728, February.
    8. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
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    Cited by:

    1. Khan, Khalid & Su, Chi-Wei & Zhu, Meng Nan, 2022. "Examining the behaviour of energy prices to COVID-19 uncertainty: A quantile on quantile approach," Energy, Elsevier, vol. 239(PE).
    2. Tian, Guangning & Peng, Yuchao & Meng, Yuhao, 2023. "Forecasting crude oil prices in the COVID-19 era: Can machine learn better?," Energy Economics, Elsevier, vol. 125(C).

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    More about this item

    Keywords

    covid-19; oil price; volatility;
    All these keywords.

    JEL classification:

    • O - Economic Development, Innovation, Technological Change, and Growth

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