文章基本信息

标题：Leveraged Bootstrap Test of Volatility: A Novel Approach to the Energy Consumption and Economic Growth Puzzle
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作者：Kuo-Hao Lee ; Jonathan Ohn ; Evren Eryilmaz 等
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2017
卷号：9
期号：9
页码：117
DOI：10.5539/ijef.v9n9p117
出版社：Canadian Center of Science and Education
摘要：The main purpose of this research is to examine the causal relationship between the Energy industry and nine other industries by use of volatility instead of returns. Existing literatures find a causal relationship by use of stock returns, however, we find that using volatility reveals a causal relationship that might not otherwise be revealed through returns alone. Since the existing literature shows that volatility of stock prices is informative, we apply a Granger causality test by use of a leveraged bootstrap test developed by Hacker and Hatemi (2006) to investigate the causal behavior of the volatility. Our results show that volatility of the Energy industry causes volatility in two other industries- Industrials and Health Care. Also, the Energy industry market is affected by the Materials, Consumer Staples and Utilities industries. This finding is substantially different from the findings of previous research, and provides a novel approach to analyzing and solving the energy consumption and economic growth puzzle.