Spillover relationship between different oil shocks and high- and low-carbon assets: An analysis based on time-frequency spillover effects

Yanqiong Liu, Jinjin Lu and Fengyuan Shi

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: In this paper, the spillover relationship between different oil shocks and high- and low-carbon assets is investigated through DY and BK spillover methods. It is found that the spillover relationships between them are heterogeneous, with WTI crude oil futures and heating oil futures being highly affected by oil demand and supply shocks, and clean energy sector stocks being highly affected by oil risk shocks. The spillover relationship between them changes at different time frequencies. For high- and low-carbon assets, more attention should be paid to protecting against risks from the same assets. Natural gas futures are little affected by spillovers.

Keywords: Oil shocks; High and low carbon assets; Time-frequency spillovers (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:finlet:v:58:y:2023:i:pc:s1544612323008887

DOI: 10.1016/j.frl.2023.104516

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