Systemic risk and financial contagion across top global energy companies

Fei Wu, Dayong Zhang and Qiang Ji

Energy Economics, 2021, vol. 97, issue C

Abstract: This study seeks to explore the firm-level interconnections in the fast changing and integrating global energy market. We investigate the risk connectedness using a Value-at-Risk (VaR) measure within a network composed of the top 20 global energy companies recognized by the Platts global energy company rankings, using the Diebold and Yilmaz's (2014) approach. We manage to identify the top risk contributors to the system across companies, regions and industries, and construct a total systemic risk index (TSRI) of the energy system. We further investigate which risk factors play a role in driving the evolution of the TSRI, again from a network perspective. The results show that its dynamics are mainly driven by the US stock market volatility and investors' sentiment in the financial market over the full sample, while energy market risks and exchange rate movements exert significant but short-term influences.

Keywords: Global energy company; Systemic risk; Value-at-risk; Connectedness network; Financial factors (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988321001262
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:97:y:2021:i:c:s0140988321001262

DOI: 10.1016/j.eneco.2021.105221

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 ().