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Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic

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  • Riccardo De Blasis

    (Department of Finance, Management and Technology, LUM University, 70010 Casamassima, Italy)

  • Filippo Petroni

    (Department of Management, Università Politecnica delle Marche, 60121 Ancona, Italy)

Abstract

The COVID-19 pandemic is having a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable energies markets has been twofold: from one side, the predictability of volatility has strongly decreased; secondly, the linkages of the price time series have been modified. In this paper, by using DCC-GARCH and Price Leadership Share methodology, we can investigate the changes in the influences between standard energies and renewable energies markets by analyzing one-minute time series of West Texas Intermediate crude oil futures contract (WTI), the Brent crude oil futures contract (BRENT), the STOXX Europe 600 oil & gas index (SXEV), and the European renewable energy index (ERIX). Our results confirm volatility spillover between the time series. However, when assessing the accuracy of the predictability of the DCC-GARCH model, the results show that the model fails its prediction in the period of higher instability. Besides, we found that price leadership has been strongly influenced by the virus spreading stages. These results have been obtained by dividing the period between September 2019 and January 2021 into 6 subperiods according to the pandemic stages.

Suggested Citation

  • Riccardo De Blasis & Filippo Petroni, 2021. "Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic," Energies, MDPI, vol. 14(9), pages 1-16, May.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:9:p:2608-:d:548090
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    2. Sławomira Kamińska-Berezowska & Małgorzata Suchacka, 2022. "Safety and Work Organization Management in the Early Days of the COVID-19 Pandemic in the Lignite Mining and Energy Sector in Poland," Energies, MDPI, vol. 15(12), pages 1-14, June.
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    4. Vítor João Pereira Domingues Martinho, 2024. "Impacts of the Covid-19 context on the European Union energy markets: interrelationships with sustainability," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(9), pages 23465-23477, September.
    5. Indre Siksnelyte-Butkiene, 2021. "Impact of the COVID-19 Pandemic to the Sustainability of the Energy Sector," Sustainability, MDPI, vol. 13(23), pages 1-19, November.
    6. Talat S. Genc & Stephen Kosempel, 2023. "Energy Transition and the Economy: A Review Article," Energies, MDPI, vol. 16(7), pages 1-26, March.
    7. Federico Mecchia & Marcellino Gaudenzi, 2022. "The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network," Papers 2206.09899, arXiv.org.
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