EURO 2024 Copenhagen
Abstract Submission

EURO-Online login

2277. The impact of energy prices on European stock markets

Invited abstract in session WD-31: AI for Energy Finance, stream Analytics.

Wednesday, 14:30-16:00
Room: 046 (building: 208)

Authors (first author is the speaker)

1. Robert-Adrian GRECU
Money and Banking, Bucharest University of Economic Studies
2. Daniel Traian Pele
Bucharest University of Economic Studies. Institute for Economic Forecasting, Romanian Academy
3. Alexandru-Adrian Cramer
Economic Cybernetics and Statistics, Bucharest University of Economic Studies

Abstract

The aim of this paper is to illustrate the connection between the energy sector and the stock market, specifically how changes in energy prices, such as oil or gas, influence the returns of the main European stock indices. The analysis was carried out at the level of European Union countries, both by taking into account the specific situation of each state, as well as the case of EU countries groups based on different criteria such as geographical region, industrial production level, or economic development status. Even though the EU countries have several common economic characteristics, the results of the analysis show that the impact of energy prices on the stock market can differ significantly from one state to another. Another important aspect observed in the results is that energy price dynamics have a different type of impact for countries with the highest level of industrial production in comparison with the rest of the EU countries. From a quantitative perspective, the paper studies, on the one hand, the co-movement between variables, and, on the other, the impact of several types of shocks in a VAR framework. Moreover, we focused the analysis on the dynamic links between energy and stock markets; in this sense, models such as Dynamic Conditional Correlation (GARCH) and Time-Varying Parameter (VAR) were applied.

Keywords

Status: accepted

Back to the list of papers