Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets

Zhifeng Dai, Rui Tang and Xinhua Zhang

Energy Economics, 2023, vol. 120, issue C

Abstract: We constructed a multilayer information spillover network containing a return spillover layer, a volatility spillover layer, and an extreme risk spillover layer to explore the system risk in the oil and G20 stock markets during 2006–2022. This paper explores the topology of the static and dynamic multilayer networks from both system-level and market-level perspectives. We find that: (i) At the system-level, the structure of layers is significantly different from each other, and risk is transmitted mainly in the volatility spillover layer. In times of crisis, the spillover effect between layers increases. In addition, multilayer networks are more sensitive to risk identification and can identify risks earlier. (ii) At the market-level, developed markets tend to have high connectivity and act as risk-emitter in spillover networks. Developing markets tend to be risk-receivers. Markets with a homogeneous economic structure are more likely to receive shocks and change from risk-receiving to risk-emitting markets. Multilayer information spillover networks provide comprehensive information on financial linkages between national stock markets, which helps regulators and investors to prevent system risks better and allocate assets appropriately.

Keywords: Multilayer networks; Connectedness; System risk; Oil market (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988323001378
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378

DOI: 10.1016/j.eneco.2023.106639

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().