Zavadska, Miroslava and Morales, Lucia and Coughlan, Joseph
(2019)
Brent crude oil prices volatility during major crises.
Finance Research Letters.
ISSN 1544-6123
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.
| Item Type: |
Article
|
| Keywords: |
rude oil;
Volatility;
Energy;
Crises;
Financial Crises;
Financial Forecasting and Simulation; Energy; |
| Academic Unit: |
Faculty of Social Sciences > School of Business |
| Item ID: |
11265 |
| Identification Number: |
https://doi.org/10.1016/j.frl.2018.12.026 |
| Depositing User: |
Joseph Coughlan
|
| Date Deposited: |
14 Oct 2019 16:14 |
| Journal or Publication Title: |
Finance Research Letters |
| Publisher: |
Elsevier |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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