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 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.

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Publication Details

Journal
Transport Economics and Management
Published
2024-09-27
DOI
https://doi.org/10.1016/j.team.2024.09.008
Citations
2
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
2.26
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article

Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication

Yifei Cai, Tsangyao Chang, Yahua Zhang
2 citations
Transport Economics and Management
Market Dynamics and Volatility
2.26
article

Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication

Yifei Cai, Tsangyao Chang, Yahua Zhang
article en
2 citations

Abstract

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.

Transport Economics and ManagementVol. 2
University of South Australia (AU), Feng Chia University (TW)
Affordable and clean energy
Openalex Percentile: Top 8%
Market Dynamics and Volatility
2.26
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