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Article

Infectious Diseases, Market Uncertainty and Oil Market Volatility

1
USEK Business School, Holy Spirit University of Kaslik, Jounieh BP446, Lebanon
2
Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA
3
Department of Economics, University of Pretoria, Pretoria 0002, South Africa
4
Department of Economics, Helmut Schmidt University, Holstenhofweg 85, 22008 Hamburg, Germany
*
Author to whom correspondence should be addressed.
Energies 2020, 13(16), 4090; https://doi.org/10.3390/en13164090
Received: 13 July 2020 / Revised: 2 August 2020 / Accepted: 4 August 2020 / Published: 7 August 2020
We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatility of crude oil prices at the highest level of statistical significance, within-sample. Importantly, we show that incorporating EMVID into a forecasting setting significantly improves the forecast accuracy of oil realized volatility at short-, medium-, and long-run horizons. Our findings comprise important implications for investors and risk managers during the unprecedented episode of high uncertainty resulting from the COVID-19 pandemic. View Full-Text
Keywords: uncertainty; infectious diseases; COVID-19; crude oil realized volatility; forecasting uncertainty; infectious diseases; COVID-19; crude oil realized volatility; forecasting
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MDPI and ACS Style

Bouri, E.; Demirer, R.; Gupta, R.; Pierdzioch, C. Infectious Diseases, Market Uncertainty and Oil Market Volatility. Energies 2020, 13, 4090. https://doi.org/10.3390/en13164090

AMA Style

Bouri E, Demirer R, Gupta R, Pierdzioch C. Infectious Diseases, Market Uncertainty and Oil Market Volatility. Energies. 2020; 13(16):4090. https://doi.org/10.3390/en13164090

Chicago/Turabian Style

Bouri, Elie, Riza Demirer, Rangan Gupta, and Christian Pierdzioch. 2020. "Infectious Diseases, Market Uncertainty and Oil Market Volatility" Energies 13, no. 16: 4090. https://doi.org/10.3390/en13164090

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