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Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods

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  • Octavian Jude

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timisoara, 16 Pestalozzi Str., 300115 Timisoara, Romania)

  • Avraham Turgeman

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timisoara, 16 Pestalozzi Str., 300115 Timisoara, Romania)

  • Claudiu Boțoc

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timisoara, 16 Pestalozzi Str., 300115 Timisoara, Romania)

  • Laura Raisa Miloș

    (Department of Finance, Faculty of Economics and Business Administration, West University of Timisoara, 16 Pestalozzi Str., 300115 Timisoara, Romania)

Abstract

The objective of this paper is to study the spillover effects between energy markets and stock markets with emphasis on the significant crisis periods of the last 15 years, the period of the financial crisis that officially started in 2008, the pandemic period, generically called COVID-19, and the recent confrontation in Eastern Europe. Understanding the volatility transmission mechanisms between the energy and capital markets and also from the energy markets back and the spillover effects that result is very important. We use multivariate GARCH models to highlight a spillover effect between energy commodities and equities in Central and Eastern Europe. The highest correlations are recorded for CEE stock markets with electricity and Brent, and the lowest for CEE stock markets with gas. The biggest symmetric shocks between energy and CEE stock markets occurred during the COVID-19 pandemic. In contrast, the biggest asymmetric shocks occurred during the financial crisis (for gas) and the Ukrainian invasion (for Brent). We also find that volatility is more sensitive to its lagged values in the marketplace than it is to new information. The impact and contagion of shocks caused by the oil market are greater than those of other energy markets.

Suggested Citation

  • Octavian Jude & Avraham Turgeman & Claudiu Boțoc & Laura Raisa Miloș, 2023. "Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods," Energies, MDPI, vol. 16(17), pages 1-12, August.
    • Handle: RePEc:gam:jeners:v:16:y:2023:i:17:p:6159-:d:1224247
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    References listed on IDEAS

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