<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The price of oil and, indirectly, the performance of stock indices have been significantly affected by the events of recent years, with a negative impact on the global economy, including the evolution of the energy market in the context of the transition to renewable energy sources and changes in global energy policy. This paper proposes a comprehensive analysis of the evolution of stock indices, oil market volatility and investors' response to the "black swan" events that have recently caused changes in the global economy. Using advanced econometric and statistical models, the paper presents the complex relationship between the analyzed stock indices, the trends and changes that occurred within them and the relevant influencing factors, such as the price of Brent Oil and the Baltic Dry Index. The results obtained, based on univariate GARCH models (GJR-GARCH) and multivariate DCC-GARCH models are in accordance with specialized studies in the field and show that oil price fluctuations were higher at the beginning of the Covid-19 pandemic compared to the period after the military conflicts (stage in which no significant influence of the oil price on the stock market is observed). Also, using the Chow test, in the analyzed period there are 3 important breaking points that coincide with the dates when the COVID-19 pandemic began, the military conflict between Russia and Ukraine as well as the military conflict between Israel and Gaza, events with a strong impact on the economy. The obtained results also show another important aspect, namely that, during the selected period January 2019-November 2023, the price of oil and the stock market were much more affected by the COVID-19 pandemic than by military conflicts, which cannot be also stated in the case of the price of the Baltic-Dry Index.</p>
</abstract>

The price of oil and, indirectly, the performance of stock indices have been significantly affected by the events of recent years, with a negative impact on the global economy, including the evolution of the energy market in the context of the transition to renewable energy sources and changes in global energy policy. This paper proposes a comprehensive analysis of the evolution of stock indices, oil market volatility and investors' response to the "black swan" events that have recently caused changes in the global economy. Using advanced econometric and statistical models, the paper presents the complex relationship between the analyzed stock indices, the trends and changes that occurred within them and the relevant influencing factors, such as the price of Brent Oil and the Baltic Dry Index. The results obtained, based on univariate GARCH models (GJR-GARCH) and multivariate DCC-GARCH models are in accordance with specialized studies in the field and show that oil price fluctuations were higher at the beginning of the Covid-19 pandemic compared to the period after the military conflicts (stage in which no significant influence of the oil price on the stock market is observed). Also, using the Chow test, in the analyzed period there are 3 important breaking points that coincide with the dates when the COVID-19 pandemic began, the military conflict between Russia and Ukraine as well as the military conflict between Israel and Gaza, events with a strong impact on the economy. The obtained results also show another important aspect, namely that, during the selected period January 2019-November 2023, the price of oil and the stock market were much more affected by the COVID-19 pandemic than by military conflicts, which cannot be also stated in the case of the price of the Baltic-Dry Index.

Oil and Stock Markets in Ongoing Flux: Impact of Current Events on Oil Price and Stock Market Performance

Proceedings of the International Conference on Business Excellence

This work is licensed under the Creative Commons Attribution 4.0 International License.

The price of oil and, indirectly, the performance of stock indices have been significantly affected by the events of recent years, with a negative impact on...

Oil and Stock Markets in Ongoing Flux: Impact of Current Events on Oil Price and Stock Market Performance

Published Online: Jul 03, 2024

Page range: 3320 - 3331

DOI: https://doi.org/10.2478/picbe-2024-0271

Keywords
correlation, “black swan” events, GJR-GARCH model, oil price fluctuation, DCC-GARCH model

© 2024 Maria-Cristina Zwak-Cantoriu, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Oil and Stock Markets in Ongoing Flux: Impact of Current Events on Oil Price and Stock Market Performance

Published Online: Jul 03, 2024

Page range: 3320 - 3331

DOI: https://doi.org/10.2478/picbe-2024-0271

Keywordscorrelation, “black swan” events, GJR-GARCH model, oil price fluctuation, DCC-GARCH model

© 2024 Maria-Cristina Zwak-Cantoriu, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
correlation, “black swan” events, GJR-GARCH model, oil price fluctuation, DCC-GARCH model