J 2020

Brent crude oil prices volatility during major crises

ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucia MORALES and Joseph COUGHLAN

Basic information

Original name

Brent crude oil prices volatility during major crises

Authors

ČECHOVÁ ZÁVADSKÁ, Miroslava (203 Czech Republic, belonging to the institution), Lucia MORALES (372 Ireland) and Joseph COUGHLAN (372 Ireland)

Edition

FINANCE RESEARCH LETTERS, ACADEMIC PRESS INC ELSEVIER SCIENCE, 2020, 1544-6123

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50202 Applied Economics, Econometrics

Country of publisher

Netherlands

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

RIV identification code

RIV/26867184:_____/20:N0000038

Organization unit

Moravian Business College Olomouc

DOI

UT WoS

000518873000008

Keywords in English

Crude oil; Volatility; Energy; Crises

Tags

Změněno: 5/5/2021 10:11, Ing. Michaela Nováková

Abstract

V originále

Volatility patterns in Brent crude oil spot and futures prices are examined during four major crises that significantly affected the oil markets: the First Gulf war 1990/91; the Asian Financial crisis 1997/98; the US terrorist attack 2001; and the Global Financial crisis 2008/9. The selected crises arose due to different triggers having diverse implications for oil market participants. The outcomes reveal higher levels of volatility during crises that was directly associated with oil supply/demand disruptions and higher volatility persistence during financial/economic crises, indicating that volatility persistence is a key issue when uncertainty is derived from global economic and financial instability.