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COVID-19 vaccinations and the volatility of energy companies in international markets

COVID-19 vaccinations and the volatility of energy companies in international markets
COVID-19 vaccinations and the volatility of energy companies in international markets
The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed phenomenon survives a broad battery of control variables; it is also independent of the employed regression model or the volatility measurement approach. Moreover, the effect is not driven by the dynamics of the pandemic itself or the associated government interventions. Finally, we find the influence of vaccinations on energy stock volatility to be more pronounced in developed markets rather than in emerging ones. Our findings bear clear practical implications: policy makers around the world should consider the essential role of vaccinations in the energy sector.
Coronavirus, COVID-19 pandemic, Energy companies, International equity markets, Stock market volatility, Vaccinations
1911-8066
1
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6

Demir, Ender, Kizys, Renatas, Rouatbi, Wael and Zaremba, Adam (2021) COVID-19 vaccinations and the volatility of energy companies in international markets. Journal of Risk and Financial Management, 14 (12), 1, [611]. (doi:10.3390/jrfm14120611).

Record type: Article

Abstract

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed phenomenon survives a broad battery of control variables; it is also independent of the employed regression model or the volatility measurement approach. Moreover, the effect is not driven by the dynamics of the pandemic itself or the associated government interventions. Finally, we find the influence of vaccinations on energy stock volatility to be more pronounced in developed markets rather than in emerging ones. Our findings bear clear practical implications: policy makers around the world should consider the essential role of vaccinations in the energy sector.

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Accepted/In Press date: 10 December 2021
e-pub ahead of print date: 17 December 2021
Published date: 17 December 2021
Keywords: Coronavirus, COVID-19 pandemic, Energy companies, International equity markets, Stock market volatility, Vaccinations

Identifiers

Local EPrints ID: 454289
URI: http://eprints.soton.ac.uk/id/eprint/454289
ISSN: 1911-8066
PURE UUID: 7aa5b25d-2d09-4616-8c3a-1d497aad9b4d
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 07 Feb 2022 17:31
Last modified: 08 Feb 2022 02:52

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Contributors

Author: Ender Demir
Author: Renatas Kizys ORCID iD
Author: Wael Rouatbi
Author: Adam Zaremba

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