Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets During the European Financial Crisis

28 Pages Posted: 20 Jan 2016

See all articles by Kostas D. Andriosopoulos

Kostas D. Andriosopoulos

ESCP Europe Business School

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: January 20, 2016

Abstract

The aim of this paper is to investigate if, and to what extent, events from the three financially troubled EU markets (Greece, Ireland, and Portugal) affected energy prices during the recent EU financial crisis. More specifically,

(i) we test for contagion effects from bond markets on energy/commodity prices,

(ii) we examine whether the nature of energy price volatility is affected, and

(iii) we investigate whether bond volatility from the financially distressed EU markets spills over, subsequently affecting energy/commodity return volatility.

Our results indicate the existence of significant contagion effects from the bond markets of the three EU countries that received bailout packages on energy/commodity prices and significant changes in the nature of energy/commodity volatility during the EU financial crisis. We also report the existence of significant volatility spill-over effects.

Keywords: Energy Markets, Contagion, Volatility Spill-Overs, European Crisis

JEL Classification: G12

Suggested Citation

Andriosopoulos, Kostas D. and Galariotis, Emilios C. and Spyrou, Spyros I., Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets During the European Financial Crisis (January 20, 2016). Available at SSRN: https://ssrn.com/abstract=2718841 or http://dx.doi.org/10.2139/ssrn.2718841

Kostas D. Andriosopoulos (Contact Author)

ESCP Europe Business School ( email )

527 Finchley Road
Hampstead
London, London NW3 7BG
Great Britain
02074438809 (Phone)

HOME PAGE: http://www.escpeurope.eu/nc/faculte-recherche/corps-professoral-escp-europe/professor/name/andriosop

Emilios C. Galariotis

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Audencia Nantes School of Management ( email )

France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

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