title: Essays on the impacts and spillover effects of energy prices and the stock market: evidence from the United States and its main trading partners
Creators: name: Almutawa, Salman Ebrahim Hasan Hasan Ahmed
Publisher: name: University of Reading
Year: 2024

description: This thesis encompasses of three empirical chapters targeting energy prices, labour 
market outcomes and volatility of stock market returns. The first chapter employs a modern 
GARCH framework to investigate the association between crude oil prices, sectoral stock 
market returns, the macroeconomy, precious metals and cryptocurrency. Pre COVID-19, 
findings reveal that oil-exporting countries share the same significant positive correlation 
between oil prices and all sectoral stock returns (aside from Canadian energy and United 
States telecommunication sectors). A significant positive (negative) volatility correlation 
between Bitcoin (3-month deposit rate) and oil prices is also detected. Results are rather 
ambiguous for oil-importing countries. However, during the pandemic sectoral stock market 
returns of all countries share the same significant positive correlation (aside from Canadian 
energy sector) with oil prices. A transition from significant positive volatility correlation 
between Bitcoin and oil prices to an insignificant one was uncovered for all countries. Yet, 
no change was reported between oil prices and the 3-month deposit rate. Finally, gold and 
oil prices are found to be significantly positively correlated while it is ambiguous for the 
nominal effective exchange rate before and during the pandemic.
The second chapter uses multiple GARCH techniques to model returns volatility of the 
FTSE4Good USA (F4GU) index and eleven sectoral stock indices of United States’ main 
trading partners. A VAR framework is then constructed to examine returns volatility 
spillover effect of the F4GU index on sectoral stock indices of Canada, the United Kingdom 
and Japan. All sectoral stock indices (aside from Canadian health care, British real estate, 
financials, information technology and consumer discretionary) reveal a positive response 
shock to a sudden increase in volatility of returns in the F4GU index. The spillover effect is 
greatly pronounced between 5 to 15 days for all three countries. In addition, returns 
volatility of the F4GU index explains more than 14%, 3.5% and 5% of the returns volatility 
in most Canadian, British, and Japanese sectoral stock indices respectively on the 25th day 
period. The explanation with the highest empirical support corresponds to the real estate 
sector of Canada and Japan at 18.6% and 28% while it’s health care for the United Kingdom 
at 9% on that particular day. 
The last chapter conducts an event study to evaluate impacts of the Regional Greenhouse 
Gas Initiative (RGGI) on the United States’ labour market outcomes. It undertakes a 
comparison to account for differences between the effect on states which enforced the policy 
versus those that did not. Results show a noticeable decline in annual income from wages of 
unskilled workers (without a college or high school degree) in energy intensive sectors. On 
average, the decline in annual wages accounts for about 7% 4 years after the reform. 
However, no effect was detected for skilled workers in these sectors. Similarly, there weren’t 
any significant impacts of RGGI on average weeks worked and probability of unemployment,
nor on wages and employment status of workers in non-energy intensive sectors.