Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors

被引：8
|
作者：
Feng, Huiqun [1 ]
Zhang, Jun [2 ]
Guo, Na [2 ]
机构：
[1] Tianjin Univ Finance & Econ, Sch Accountancy, Tianjin, Peoples R China
[2] Tianjin Univ Finance & Econ, Sch Finance, Tianjin, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2023年 / 89卷
基金：
中国国家自然科学基金;
关键词：
C32; C50; G15; Dynamic spillovers; Energy market; Stock market; TVP-VAR; ASYMMETRIC VOLATILITY SPILLOVERS; IMPULSE-RESPONSE ANALYSIS; CRUDE-OIL; CONNECTEDNESS; TRANSMISSION; PRICES; POLICY; SHOCKS; INDEX; RISK;
D O I：
10.1016/j.irfa.2023.102714
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Integration between international energy prices and stock market returns is critical for global economics and politics. In this study, we employ a TVP-VAR (time-varying parameter vector autoregression) connectedness decomposition approach to investigate the time-varying linkages between a diversified energy portfolio comprising oil, coal, natural gas, and stock returns in G7 countries and China. This approach allows us to show the dynamic spillovers and explore the driving factors underlying the dynamic patterns. We find that geopolitical risks, global economic policy uncertainties, and equity market volatility can influence cross-market spillovers. This study expounds the effect of energy financialization.
引用
收藏
页数：16
相关论文
共 50 条
  • [1] Directional predictability and time-varying spillovers between stock markets and economic cycles
    Bekiros, Stelios
    Shahzad, Syed Jawad Hussain
    Arreola-Hernandez, Jose
    Rehman, Mobeen Ur
    ECONOMIC MODELLING, 2018, 69 : 301 - 312
  • [2] Time-varying volatility spillovers between stock and precious metal markets with portfolio implications
    Mensi, Walid
    Al-Yahyaee, Khamis Hamed
    Kang, Sang Hoon
    RESOURCES POLICY, 2017, 53 : 88 - 102
  • [3] Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
    Cunado, Juncal
    Gabauer, David
    Gupta, Rangan
    FINANCIAL INNOVATION, 2024, 10 (01)
  • [4] Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
    Juncal Cunado
    David Gabauer
    Rangan Gupta
    Financial Innovation, 10
  • [5] Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict
    Ghallabi, Fahmi
    Yousaf, Imran
    Ghorbel, Ahmed
    Li, Yanshuang
    PACIFIC-BASIN FINANCE JOURNAL, 2024, 85
  • [6] Time-varying causality between stock and housing markets in China
    Shi, Guangping
    Liu, Xiaoxing
    Zhang, Xu
    FINANCE RESEARCH LETTERS, 2017, 22 : 227 - 232
  • [7] Time-Varying Linkages of Economic Activities in China and the Stock Markets in ASEAN-5
    Teng, Kee Tuan
    Yen, Siew Hwa
    Chua, Soo Y.
    Lean, Hooi Hooi
    CONTEMPORARY ECONOMICS, 2016, 10 (02) : 137 - 152
  • [8] Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Guidolin, Massimo
    Ono, Sadayuki
    JOURNAL OF ECONOMICS AND BUSINESS, 2006, 58 (5-6) : 480 - 518
  • [9] Volatility Spillovers and Linkages in Asian Stock Markets
    Chow, Hwee Kwan
    EMERGING MARKETS FINANCE AND TRADE, 2017, 53 (12) : 2770 - 2781
  • [10] Dynamic spillovers between the carbon, stock, and energy markets: A New Zealand case
    Tao, Miaomiao
    Poletti, Stephen
    Wen, Le
    Sheng, Mingyue Selena
    JOURNAL OF CLEANER PRODUCTION, 2024, 434
12345