ABSTRACT
In this paper, we study the impact of news and sentiments related to covid-19 on United Kingdom (UK)'s stock returns from February 4, 2020 to December 7, 2020. Our results show that covid-19 daily cases exert a significant negative effect on stock returns whereas covid-19 daily deaths have a significant positive impact. These findings hold when covid-related news and sentiments indices are controlled with the 2nd wave data, and when the US policies and equity market volatilities from infectious diseases are used as controls. The magnitude of the effect of covid cases and deaths indicates that the pandemic is not very harmful to the UK stock market. © 2022 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy
ABSTRACT
The role of non-financial sector market fluctuations such as the role of oil price uncertainty either on financial stability or on policy-related economic uncertainty has not been investigated extensively. This study examines the connectedness of financial stress and economic policy uncertainty with a non-financial market of Brent oil and its prices, by employing a Diebold and Yilmaz (2012, 2014) generalized framework and a TVP-VAR model specification. We use monthly series of 7 advanced countries, namely the US, UK, Canada, Japan, Germany, France, and Italy and 2 different indices for measuring financial stress (FSI) and economic policy uncertainty (EPU), over the period 2007–2020. Furthermore, the literature on oil price uncertainty and its effect on financial stress and on economic policy uncertainty is scarce. We additionally, examine the impact of oil price volatility on FSI and on EPU, by employing a structural VAR-GARCH-M model specification and IRFs analysis. Our results from the dynamic connectedness analysis indicate that during the COVID-19 pandemic, spillovers have increased substantially but not exceeded the Global Financial Crises 2007 levels. Finally, our estimation results from the IRFs analysis reveal that oil price uncertainty is associated with higher financial stress for some of the G7 countries while it is not related to economic policy uncertainty. © 2021 Elsevier B.V.
ABSTRACT
Market participants and public policy makers around the world are working hard, attempting to move the world away from the use of carbon-intensive fossil fuels and towards the adoption of viable renewable energy sources. The Trump energy plan supports the production of fossil fuels by reversing this progress. The COVID-19 and the resulting lockdown measures come to worsen the situation by causing a noticeable disruption across the fossil fuel and renewable energy industries. Given these developments, this study seeks to address how and to what extent the Trump energy agenda is rolling back the plans for advancing renewable energy, and how the pandemic is changing the pace of energy transition. For this purpose, we compare the performances of renewable energy and fossil fuels in terms of volatility, efficiency and diversifications benefits for three different periods with varying-uncertainty levels, namely the pre- and the post- Trump's inauguration periods and the period of rising anxiety over COVID-19. Our results reveal that in the period after the Trump inauguration, coal and oil (renewable energy) have become less (more) volatile but are relatively more (less) responsive to good news. The conditions however became worse with the onslaught of the coronavirus pandemic. COVID-19 adversely affects investment in oil, coal and renewable energy stock markets, though with varying levels. This virus persists to strongly hit fossil fuels demand because of the stringent containment measures. It also poses a huge threat to the timely deployment of renewables and their contributions to the renewable energy progress. These findings have relevant implications for risk management and policy designs. © 2020 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy