Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness

Mehrad Asadi, David Roubaud and Aviral Tiwari

Energy Economics, 2022, vol. 109, issue C

Abstract: This paper inspects volatility connectedness across crude oil, natural gas, coal, stock, and currency markets in the US and China. To accomplish this objective, we deploy methodologies advocated by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) through gathering daily data from 12/8/2008 to 12/18/2020. The evidence from this research suggests total connectedness among energy, stock, and currency markets is not high, and accordingly, contemporaneity of losses in these assets seems highly improbable. Other results reveal that the S&P500, WTI, natural gas, and the US dollar number are net receivers, while Shanghai stock, coal, and USD/CNY are net givers. Thus, we conclude that Shanghai stock, coal, and USD/CNY should not be used for portfolio diversification. Furthermore, total connectedness in the long run outperforms that of the short run, implying investors cannot follow the buy-and-hold approach on account of these assets' high long-term volatility. All in all, these outcomes are advantageous for authorities and investors to broaden their knowledge of how price volatility shocks in these energy markets translate to stock and currency markets.

Keywords: Fossil fuels, stock and currency; Diebold and Yilmaz connectedness; Frequency domain connectedness (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001372

DOI: 10.1016/j.eneco.2022.105961

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