Global connectedness of MSCI energy equity indices: A system-wide network approach

Vipul Kumar Singh, Pawan Kumar and Shreyank Nishant

Energy Economics, 2019, vol. 84, issue C

Abstract: The paper utilizes MSCI energy indices of 21 major energy consumer economies as a full sample to serve as a proxy indicator of the energy sector of these economies and then studies the squared return spillover interlinkages among them for the pre- and post-global financial crisis of 2008 and during the crude oil crises of 2008–09 and 2014–15. The squared return spillover connectedness has been analyzed on intra- and inter-regional basis based on the segregation of indices into regions, viz., Europe, North and Latin America, and Asia Pacific and Africa. The connectedness interlinkage has been quantified deploying Generalized Error Variance Decomposition (GEVD), and the results have been visualized via network diagrams. The result shows that the return spillover connectedness is significant and is more prominent in some economies, primarily in Europe and North America, for the full sample. However, post-crisis, the squared return spillover connectedness of emerging economies of Asia Pacific has witnessed a boost. Surprisingly, Russia, as a major oil exporter, sends moderate shocks system-wide in the post-crisis era, implying economic sanctions downplay the influence it could make in the energy sector. During the crisis year, though spillover risk transmission is high during the 2008–09 crisis, it is more spread out during the 2014–15 crisis with the inclusion of the Asia Pacific emerging market energy indices.

Keywords: Connectedness; Energy; GEVD; MSCI; Network; Spillover; VAR; Squared return (search for similar items in EconPapers)
JEL-codes: C18 C82 F6 G11 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302580

DOI: 10.1016/j.eneco.2019.104477

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