Template-Type: ReDIF-Article 1.0 
Author-Name: Afees Salisu  
Author-Name:   Idris Adediran
Author-Email:  contact.apaea@gmail.com
Author-Workplace-Name: Asia Pacific Applied Economics Association
Title: Uncertainty Due to Infectious Diseases and Energy Market Volatility
Abstract:  Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.
Classification-JEL:  O
Keywords:  energy markets, pandemics, volatility, predictability
Journal:  Energy RESEARCH LETTERS
Pages: 1-4
Volume: 1
Issue: 1
Year:  2021
DOI:  2021/06/16
File-URL:  https://erl.scholasticahq.com/api/v1/articles/14185-uncertainty-due-to-infectious-diseases-and-energy-market-volatility.pdf
File-Format:  Application/pdf
Handle: RePEc:ayb:jrnerl:17