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On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Department of Finance, The Bucharest University of Economic Studies, 6 Piata Romana, Bucharest 010374, Romania
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Energies 2019, 12(8), 1463; https://doi.org/10.3390/en12081463
Received: 23 March 2019 / Revised: 13 April 2019 / Accepted: 15 April 2019 / Published: 17 April 2019
(This article belongs to the Section Energy Economics and Policy)
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Abstract

This paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants. View Full-Text
Keywords: energy market; capital market; cointegration; VECM; ARDL; Granger causality; CO2; WTI; BET energy market; capital market; cointegration; VECM; ARDL; Granger causality; CO2; WTI; BET
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Armeanu, D.Ş.; Joldeş, C.C.; Gherghina, Ş.C. On the Linkage between the Energy Market and Stock Returns: Evidence from Romania. Energies 2019, 12, 1463.

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