We would like to invite all enthusiasts of the financial world to the first Finance Research Seminar Series event! When? February 23rd at 12:15 PM Where? Kozminski University or MS Teams Access Details about the location and remote access will be sent to the provided e-mail address once the registration is completed. The registration form is available below. During the first meeting Jan Jakub Szczygielski, Ph.D., will present the paper on "The COVID-19 storm and the energy sector: The impact and role of uncertainty" Abstract: Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the impact and the timing of the impact of COVID-19 related uncertainty on returns and volatility for 20 national energy indices and a global energy index using ARCH/GARCH models. We propose a novel ‘overall impact of uncertainty’ (OIU) measure, explained using a natural phenomenon analogy of the overall impact of a rainstorm, to gauge the magnitude and intensity of the impact of uncertainty on energy sector returns. Drawing from economic psychology, COVID-19 related uncertainty is measured in terms of searches for information relating to COVID-19 as captured by Google search trends. Our results show that the energy sectors of countries further west from the outbreak of the virus in China are impacted to a greater extent by COVID-19 related uncertainty. A similar observation is made for net energy and oil exporters relative to importers. We also find that the impact of uncertainty on most national energy sectors intensified and then weakened as the pandemic evolved. Additional analysis confirms that COVID-19 uncertainty is part of the composite set of factors that drive energy sector returns over the COVID-19 period although its importance has declined over time.
Special guest and speaker: Jan Jakub Szczygielski, Ph.D.
JJ Szczygielski is an Assistant Professor in finance at Kozminski University, in Warsaw, Poland, and an extraordinary lecturer (research fellow) at the University of Pretoria. Prior to joining Kozminski University, he worked at two research-intensive institutions, the University of Pretoria and the University of the Witwatersrand in South Africa, and also within the higher education sector in the United Kingdom. He holds a Ph.D. in Financial Management Sciences (Finance) from the University of Pretoria.
His research interests lie in developing econometric and quantitative techniques for application to asset pricing and information transmission modeling and drawing upon the fields of asset pricing, empirical and quantitative finance, stochastic modeling, financial economics, and financial econometrics. He has published in the Journal of Portfolio Management, Energy Economics, the International Review of Financial Analysis, and Finance Research Letters and has given numerous talks about his research. He worked in financial risk management consulting in South Africa, Cyprus, and the Netherlands.