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Connectedness and directional spillovers in energy sectors: international evidence

Author

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  • Aviral Kumar Tiwari
  • Emmanuel Joel Aikins Abakah
  • Richard Adjei Dwumfour
  • Salma Mefteh-Wali

Abstract

This paper provides a comparative analysis of how the energy-sector stocks of 20 regional blocs (Americas, Australasia, BRIC, Southeast Asia, Scandinavia, Southern Europe, Far East, Europe, European Union, Emerging Europe, Asia, G7, G12, Economic and Monetary Union (EMU), CCARBNS, Latin America, North America, PIIGS, Asia-Pacific and NORCS) are connected from 5 July 1994 to 21 April 2020. It uses various techniques: Diebold and Yilmaz (2014)(DY 2014, hereafter) spillover indices and TVP-VAR, LASSO-VAR. Our main results are as follows: First, the DY approach results show that the biggest net contributor of volatility is the CCARBNS region, followed by the G12 and G7 regions, while the biggest receiver of volatility is the Southeast Asia region. Second, the TVP-VAR and LASSO-VAR results reveal that Scandinavia, Far East, and America’s regions are net receivers of energy shocks, with net transmitters being CCARBNS, G7, G12 and Emerging European regions. Third, during the 2007–2008 financial crisis and recent COVID-19 outbreak, energy stock market spillovers have reached unprecedented high levels. Fourth, the world policy uncertainty greatly influenced the magnitude of volatility spillovers across regional energy stock markets.

Suggested Citation

  • Aviral Kumar Tiwari & Emmanuel Joel Aikins Abakah & Richard Adjei Dwumfour & Salma Mefteh-Wali, 2022. "Connectedness and directional spillovers in energy sectors: international evidence," Applied Economics, Taylor & Francis Journals, vol. 54(22), pages 2554-2569, May.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:22:p:2554-2569
    DOI: 10.1080/00036846.2021.1998326
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    Cited by:

    1. Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Inglesi-Lotz, R. & Dogan, Eyup & Nel, J. & Tzeremes, Panayiotis, 2023. "Connectedness and spillovers in the innovation network of green transportation," Energy Policy, Elsevier, vol. 180(C).
    3. Su, Chi-Wei & Yuan, Xi & Umar, Muhammad & Chang, Tsangyao, 2022. "Dynamic price linkage of energies in transformation: Evidence from quantile connectedness," Resources Policy, Elsevier, vol. 78(C).
    4. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.

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