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How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

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  • Wenting Zhang

    (Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan)

  • Xie He

    (Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan)

  • Tadahiro Nakajima

    (Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan
    The Kansai Electric Power Company, Incorporated, 3-chome-6-16 Nakanoshima, Kita-Ku, Osaka 530-8270, Japan)

  • Shigeyuki Hamori

    (Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan)

Abstract

Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North America. Furthermore, compared to natural gas, crude oil has a greater volatility spillover on the electricity utility stock indices in North America and Europe. Second, in frequency domain, most of the return spillover occurs in the short-term, while most of the volatility spillover occurs over a longer period. Third, the rolling analyses indicate that the return and volatility from 2009 to late 2013 remained stable in North America and Europe, which may be a result of the 2008 global financial crisis, and started to fluctuate after late 2013 due to some extreme events, indicating that extreme events can significantly influence spillover effects. Moreover, investors should monitor current events to diversify their portfolios properly and hedge their risks.

Suggested Citation

  • Wenting Zhang & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe," Energies, MDPI, vol. 13(3), pages 1-26, February.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:3:p:727-:d:317715
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