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Spillover relationship between different oil shocks and high- and low-carbon assets: An analysis based on time-frequency spillover effects

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  • Liu, Yanqiong
  • Lu, Jinjin
  • Shi, Fengyuan

Abstract

In this paper, the spillover relationship between different oil shocks and high- and low-carbon assets is investigated through DY and BK spillover methods. It is found that the spillover relationships between them are heterogeneous, with WTI crude oil futures and heating oil futures being highly affected by oil demand and supply shocks, and clean energy sector stocks being highly affected by oil risk shocks. The spillover relationship between them changes at different time frequencies. For high- and low-carbon assets, more attention should be paid to protecting against risks from the same assets. Natural gas futures are little affected by spillovers.

Suggested Citation

  • Liu, Yanqiong & Lu, Jinjin & Shi, Fengyuan, 2023. "Spillover relationship between different oil shocks and high- and low-carbon assets: An analysis based on time-frequency spillover effects," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008887
    DOI: 10.1016/j.frl.2023.104516
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    1. Yan-Hong Yang & Ying-Hui Shao & Wei-Xing Zhou, 2024. "Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict," Papers 2409.19307, arXiv.org.

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