Zavadska, Miroslava and Morales, Lucia and Coughlan, Joseph (2019) Brent crude oil prices volatility during major crises. Finance Research Letters. ISSN 1544-6123

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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:	Publisher

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