ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucia MORALES and Joseph COUGHLAN. Brent crude oil prices volatility during major crises. FINANCE RESEARCH LETTERS. ACADEMIC PRESS INC ELSEVIER SCIENCE, 2020, vol. 32, Leden 2020, p. 1-8. ISSN 1544-6123. Available from: https://dx.doi.org/10.1016/j.frl.2018.12.026.
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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
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Netherlands
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/26867184:_____/20:N0000038
Organization unit Moravian Business College Olomouc
Doi http://dx.doi.org/10.1016/j.frl.2018.12.026
UT WoS 000518873000008
Keywords in English Crude oil; Volatility; Energy; Crises
Tags RIV20
Changed by Changed by: Ing. Michaela Nováková, učo 5293. Changed: 5/5/2021 10:11.
Abstract
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.
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