IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2023-01-9.html
   My bibliography  Save this article

Return and Volatility Spillovers of Asian Pacific Stock Markets Energy Indices

Author

Listed:
  • Manivannan Babu

    (Bharathidasan School of Management, Bharathidasan University, India,)

  • C. Hariharan

    (Nehru Institute of Technology, Coimbatore, Tamil Nadu, India)

  • S. Srinivasan

    (Sri Ramachandra Institute of Higher Education and Research, India,)

  • P. S. Shabi Shimny

    (Gulf Centre for University Education (IGNOU), India,)

  • Gayathri Jayapal

    (Department of Commerce and Financial Studies, Bharathidasan University, India,)

  • G. Indhumathi

    (Mother Teresa Women s University, India,)

  • J. Sathya

    (Sri Sarada College for Women, India,)

  • Brintha Rajendran

    (Bharathidasan School of Management, India,)

  • Veeramani Anandhabalaji

    (Bharathidasan School of Management, Bharathidasan University, India,)

  • Chinnadurai Kathiravan

    (VIT Business School, VIT University, India.)

Abstract

The aim of the study was to investigate the presence of volatility among the Energy Indices of Asia Pacific Stock Markets. To test the volatility among the daily returns of Energy Indices of Asia Pacific Stock Markets, the study selected five sample Asian Pacific stock markets Energy Indices on the basis of availability of data. The findings of descriptive statistics and the ADF Test revealed, that the daily returns of the sample energy indices of Asian Pacific stock markets were not normally distributed and achieved stationarity at level difference, over the research period. Hence the data may be used for additional analysis. The data were then analysed, by using the GARCH (1,1) model to assess the considerable volatility of daily returns of sample energy indices and the study, which revealed that during the study period, all of the sample energy indices were volatile.

Suggested Citation

  • Manivannan Babu & C. Hariharan & S. Srinivasan & P. S. Shabi Shimny & Gayathri Jayapal & G. Indhumathi & J. Sathya & Brintha Rajendran & Veeramani Anandhabalaji & Chinnadurai Kathiravan, 2023. "Return and Volatility Spillovers of Asian Pacific Stock Markets Energy Indices," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 61-66, January.
    • Handle: RePEc:eco:journ2:2023-01-9
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijeep/article/download/13492/7110
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijeep/article/view/13492
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Amirreza Attarzadeh & Mehmet Balcilar, 2022. "On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets," Energies, MDPI, vol. 15(5), pages 1-18, March.
    2. Manivannan Babu & A. Antony Lourdesraj & C. Hariharan & Gayathri Jayapal & G. Indhumathi & J. Sathya & Chinnadurai Kathiravan, 2022. "Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 50-55, November.
    3. 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).
    4. Manivannan Babu & A. Antony Lourdesraj & Gayathri Jayapal & G. Indhumathi & J. Sathya, 2022. "Effect of COVID-19 Pandemic on NSE Nifty Energy Index," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 141-145, July.
    5. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(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. V. Anandhabalaji & Manivannan Babu & J. Gayathri & J. Sathya & G. Indhumathi & R. Brintha & Justin Nelson Michael, 2023. "Examining the Volatility of Conventional Cryptocurrencies and Sustainable Cryptocurrency during Covid-19: Based on Energy Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 344-352, November.

    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. V. Anandhabalaji & Manivannan Babu & J. Gayathri & J. Sathya & G. Indhumathi & R. Brintha & Justin Nelson Michael, 2023. "Examining the Volatility of Conventional Cryptocurrencies and Sustainable Cryptocurrency during Covid-19: Based on Energy Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 344-352, November.
    2. Liu, Yongtuan & Wang, Kewei, 2024. "Asymmetric impacts of coal prices, fintech, and financial stress on clean energy stocks," Resources Policy, Elsevier, vol. 92(C).
    3. Han Yan & Md. Qamruzzaman & Sylvia Kor, 2023. "Nexus between Green Investment, Fiscal Policy, Environmental Tax, Energy Price, Natural Resources, and Clean Energy—A Step towards Sustainable Development by Fostering Clean Energy Inclusion," Sustainability, MDPI, vol. 15(18), pages 1-25, September.
    4. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
    5. Mohsin, Muhammad & Jamaani, Fouad, 2023. "A novel deep-learning technique for forecasting oil price volatility using historical prices of five precious metals in context of green financing – A comparison of deep learning, machine learning, an," Resources Policy, Elsevier, vol. 86(PA).
    6. Al-Fayoumi, Nedal & Bouri, Elie & Abuzayed, Bana, 2023. "Decomposed oil price shocks and GCC stock market sector returns and volatility," Energy Economics, Elsevier, vol. 126(C).
    7. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy," Energy Economics, Elsevier, vol. 129(C).
    8. Rui Dias & Nuno Teixeira & Paulo Alexandre & Mariana Chambino, 2023. "Exploring the Connection between Clean and Dirty Energy: Implications for the Transition to a Carbon-Resilient Economy," Energies, MDPI, vol. 16(13), pages 1-21, June.
    9. Husain, Afzol & Karim, Sitara & Sensoy, Ahmet, 2024. "Financial fusion: Bridging Islamic and Green investments in the European stock market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    10. Ekaterina V. Popova & Nikolay I. Strikh, 2023. "Investigation of ESG spillovers for external stakeholders in Russian regions," Upravlenets, Ural State University of Economics, vol. 14(2), pages 20-34, May.
    11. Balsalobre-Lorente, Daniel & Sinha, Avik & Murshed, Muntasir, 2023. "Russia-Ukraine conflict sentiments and energy market returns in G7 countries: Discovering the unexplored dynamics," Energy Economics, Elsevier, vol. 125(C).
    12. Duppati, Geeta & Younes, Ben Zaied & Tiwari, Aviral Kumar & Hunjra, Ahmed Imran, 2023. "Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak," Resources Policy, Elsevier, vol. 81(C).
    13. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2023. "Dependence between the GCC energy equities, global clean energy and emission markets: Evidence from wavelet analysis," Energy Economics, Elsevier, vol. 121(C).
    14. Lee, Chi-Chuan & Lee, Chien-Chiang, 2024. "Not all are alike: Assessing the effect of geopolitical risk on regional renewable energy development in China," Renewable Energy, Elsevier, vol. 222(C).
    15. Talat S. Genc & Stephen Kosempel, 2023. "Energy Transition and the Economy: A Review Article," Energies, MDPI, vol. 16(7), pages 1-26, March.
    16. Ali, Shoaib & Naveed, Muhammad & Youssef, Manel & Yousaf, Imran, 2024. "FinTech-powered integration: Navigating the static and dynamic connectedness between GCC equity markets and renewable energy cryptocurrencies," Resources Policy, Elsevier, vol. 89(C).
    17. Jiang, Wei & Zhang, Yanyu & Wang, Kai-Hua, 2024. "Analyzing the connectedness among geopolitical risk, traditional energy and carbon markets," Energy, Elsevier, vol. 298(C).
    18. Si Mohammed, K. & Mellit, A., 2023. "The relationship between oil prices and the indices of renewable energy and technology companies based on QQR and GCQ techniques," Renewable Energy, Elsevier, vol. 209(C), pages 97-105.
    19. Dariusz Gołȩbiewski & Tomasz Barszcz & Wioletta Skrodzka & Igor Wojnicki & Andrzej Bielecki, 2022. "A New Approach to Risk Management in the Power Industry Based on Systems Theory," Energies, MDPI, vol. 15(23), pages 1-19, November.

    More about this item

    Keywords

    Asian Pacific Stock Market; Energy Index; GARCH (1; 1); Volatility Spillovers;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

    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:eco:journ2:2023-01-9. 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: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    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.