The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset]

Abstract

In this study, the authors investigate the impact and the timing of the impact of COVID-19 related uncertainty on returns and volatility for 20 national energy indices and a global energy index using ARCH/GARCH models. The data sample spans the period from 1 January 2015 to 17 July 2020, comprising daily levels for the MSCI World Energy index – the global energy aggregate – and national MSCI Energy indices for the 20 countries with the largest energy sectors by market capitalisation in US Dollars as of 30 November 2019. The MSCI Energy indices cover two industries, as per the MSCI Global Industry Classification Standard (GICS) (2018) definition. These are the energy equipment and services and oil, gas and consumable fuels industries. By undertaking this explorative study of the impact of COVID-19 uncertainty on the energy sector, we shed light on the influence of the COVID-19 crisis on a particularly vulnerable industry. What emerges is that the energy sector was not in a good shape prior to the outbreak of the COVID-19 virus. However, the pandemic further contributed to its woes with one such negative effect attributable to uncertainty surrounding the COVID-19 crisis.

Citation

SZCZYGIELSKI, J.J., BRZESZCZYŃSKI, J., CHARTERIS, A. and BWANYA, P.A. 2022. The COVID-19 storm and the energy sector: the impact and role of uncertainty. [Dataset]. Energy economics [online], 109, article 105258. Available from: https://doi.org/10.1016/j.eneco.2021.105258

• Acceptance Date: Mar 21, 2021
• Online Publication Date: Apr 2, 2021
• Publication Date: May 31, 2022
• Deposit Date: Mar 31, 2023
• Publicly Available Date: Mar 31, 2023
• Publisher: Elsevier
• DOI: https://doi.org/10.1016/j.eneco.2021.105258
• Keywords: COVID-19; Overall impact of uncertainty (OIU) measure; Stock returns; Stock return volatility; Uncertainty; Energy sector
• Public URL: https://rgu-repository.worktribe.com/output/1925299
• Related Public URLs: https://rgu-repository.worktribe.com/output/1893449 (Journal article)
• Type of Data: PDF, XLSX, WF1 files and accompanying TXT file.
• Collection Date: Jul 17, 2020
• Collection Method: Our data sample spans the period from 1 January 2015 to 17 July 2020, comprising daily levels for the MSCI World Energy index – the global energy aggregate – and national MSCI Energy indices for the 20 countries with the largest energy sectors by market capitalisation in US Dollars as of 30 November 2019. The MSCI Energy indices cover two industries, as per the MSCI Global Industry Classification Standard (GICS) (2018) definition. These are the energy equipment and services and oil, gas and consumable fuels industries. Following an analysis of Google search trends data, we identify nine COVID-19 related terms associated with high search volumes over the COVID-19 period worldwide from the beginning of the pandemic. Szczygielski et al. (2021) show that worldwide Google search trends dominate regional trends, except for US trends. Therefore, the use of worldwide Google search trends data to quantify COVID-19 related uncertainty for national markets – as opposed to regional or national trends – is more appropriate. While the beginning of the COVID-19 crisis continues to be debated, we denote it as coinciding with the first documented hospitalisation on 16 December 2019 (Huang et al., 2020). This date is two weeks before the WHO China Country Office was officially informed of pneumonia of an unknown cause, the suspected first COVID-19 case, in Wuhan city. The final part of our study examines the role of COVID-19 related uncertainty as a factor in energy sector returns. We therefore analyse the structure of the return generating process during the pre-COVID-19 and COVID-19 periods and the role of ΔCV19It during the COVID-19 period.