When an economy does well as a result of crude oil proceeds, it is expected that its financial market records boost. So, when the regresses due to fluctuations in prices, also reacts tandem. To shed light on uninterrupted fluctuations, we empirically estimated effect changes exchange rates and prices stock returns developing countries using nonlinear autoregressive distributed lag (NARDL) metho...

Abstract This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns U.S. airlines using both industry firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline including jet fuel volatility. Empirical results confirm that increase, volatility have significantly advers...

We develop an index of uncertainty, the COVID-19 induced uncertainty (CIU) index, and employ it to empirically examine vulnerability energy prices amidst pandemic using a distributed lag model that jointly accounts for conditional heteroscedasticity, autocorrelation, persistence, structural breaks, as well day-of-the-week effect. The nexus between returns is analyzed, daily price eight sources ...

The advent of the COVID-19 pandemic has markedly affected energy valuations and financial markets. As such, this article aims to scrutinize dynamic interplay between stock market returns crude oil prices, with a particular focus on China, factoring in second-moment effect volatility spillover. Employing an EGARCH process model leverage impact returns’ volatility, analysis utilizes daily data sp...