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The link between energy prices and stock markets in European Union countries

Author

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  • Grecu, Robert Adrian
  • Cramer, Alexandru Adrian
  • Pele, Daniel Traian
  • Lessmann, Stefan

Abstract

The paper examines the relationship between the energy sector and the stock market, specifically analyzing how fluctuations in energy prices, such as oil and gas, influence the returns of major European stock indices. The analysis is conducted at the level of European Union (EU) countries, considering both individual country-specific dynamics and group-level effects based on various criteria, such as geographical region and industrial development.

Suggested Citation

  • Grecu, Robert Adrian & Cramer, Alexandru Adrian & Pele, Daniel Traian & Lessmann, Stefan, 2025. "The link between energy prices and stock markets in European Union countries," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000609
    DOI: 10.1016/j.najef.2025.102420
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    References listed on IDEAS

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    More about this item

    Keywords

    Energy market; Capital market; DCC-GARCH; TVP-VAR; Markov-switching;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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