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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Bibliographic Details
Published inTransport Economics and Management Vol. 2; pp. 302 - 309
Main Authors Yifei Cai, Yahua Zhang, Tsangyao Chang
Format Journal Article
LanguageEnglish
Published Elsevier 01.12.2024
Subjects
Airlines stock returns and volatility
Energy uncertainty index
Wavelet coherence analytical method
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Summary: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.
ISSN:2949-8996
DOI:10.1016/j.team.2024.09.008