Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors
Huiqun Feng,
Jun Zhang and
Na Guo
International Review of Financial Analysis, 2023, vol. 89, issue C
Abstract:
Integration between international energy prices and stock market returns is critical for global economics and politics. In this study, we employ a TVP-VAR (time-varying parameter vector autoregression) connectedness decomposition approach to investigate the time-varying linkages between a diversified energy portfolio comprising oil, coal, natural gas, and stock returns in G7 countries and China. This approach allows us to show the dynamic spillovers and explore the driving factors underlying the dynamic patterns. We find that geopolitical risks, global economic policy uncertainties, and equity market volatility can influence cross-market spillovers. This study expounds the effect of energy financialization.
Keywords: Dynamic spillovers; Energy market; Stock market; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C32 C50 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002302
DOI: 10.1016/j.irfa.2023.102714
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