Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication
This study evaluates the performance of interlinks between energy uncertainty index and airlines stock returns and volatility by applying the wavelet coherence analytical methodology. For stock returns, American Airlines exhibits notable lead-lag effects, while Air China and Air France show varied p...
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| Format: | Article |
| Language: | English |
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Elsevier
2024-12-01
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| Series: | Transport Economics and Management |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2949899624000248 |
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| _version_ | 1846160261049745408 |
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| author | Yifei Cai Yahua Zhang Tsangyao Chang |
| author_facet | Yifei Cai Yahua Zhang Tsangyao Chang |
| author_sort | Yifei Cai |
| collection | DOAJ |
| description | This study evaluates the performance of interlinks between energy uncertainty index and airlines stock returns and volatility by applying the wavelet coherence analytical methodology. For stock returns, American Airlines exhibits notable lead-lag effects, while Air China and Air France show varied patterns. In terms of volatility, American Airlines' volatility aligns with energy uncertainty across phases. Air France's volatility both leads and lags, and Air China shows minimal co-variation. The policy implications are provided at the end of the study. |
| format | Article |
| id | doaj-art-743355d78d4844869f1fcdd9398c6e1c |
| institution | Kabale University |
| issn | 2949-8996 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Transport Economics and Management |
| spelling | doaj-art-743355d78d4844869f1fcdd9398c6e1c2024-11-22T07:40:42ZengElsevierTransport Economics and Management2949-89962024-12-012302309Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communicationYifei Cai0Yahua Zhang1Tsangyao Chang2UniSA Aviation, STEM Unit, University of South Australia, Adelaide, Australia; Centre for Enterprise Dynamics in Global Economies, University of South Australia, Adelaide, AustraliaUniSA Aviation, STEM Unit, University of South Australia, Adelaide, Australia; Corresponding author.Department of Finance, Feng Chia University, TaiwanThis study evaluates the performance of interlinks between energy uncertainty index and airlines stock returns and volatility by applying the wavelet coherence analytical methodology. For stock returns, American Airlines exhibits notable lead-lag effects, while Air China and Air France show varied patterns. In terms of volatility, American Airlines' volatility aligns with energy uncertainty across phases. Air France's volatility both leads and lags, and Air China shows minimal co-variation. The policy implications are provided at the end of the study.http://www.sciencedirect.com/science/article/pii/S2949899624000248Energy uncertainty indexAirlines stock returns and volatilityWavelet coherence analytical method |
| spellingShingle | Yifei Cai Yahua Zhang Tsangyao Chang Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication Transport Economics and Management Energy uncertainty index Airlines stock returns and volatility Wavelet coherence analytical method |
| title | Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication |
| title_full | Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication |
| title_fullStr | Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication |
| title_full_unstemmed | Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication |
| title_short | Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication |
| title_sort | dependence structure between energy uncertainty index and airlines stocks returns and volatility a short communication |
| topic | Energy uncertainty index Airlines stock returns and volatility Wavelet coherence analytical method |
| url | http://www.sciencedirect.com/science/article/pii/S2949899624000248 |
| work_keys_str_mv | AT yifeicai dependencestructurebetweenenergyuncertaintyindexandairlinesstocksreturnsandvolatilityashortcommunication AT yahuazhang dependencestructurebetweenenergyuncertaintyindexandairlinesstocksreturnsandvolatilityashortcommunication AT tsangyaochang dependencestructurebetweenenergyuncertaintyindexandairlinesstocksreturnsandvolatilityashortcommunication |