EconPapers    
Economics at your fingertips  
 

Volatility connectedness and its determinants of global energy stock markets

Qichang Xie, Chao Luo, Xiaoping Cong and Xu Wang

Economic Systems, 2024, vol. 48, issue 2

Abstract: This study seeks to construct a global volatility network for a large number of energy firms and explore the mechanisms of risk transmission of energy stock markets at the corporate, national, and regional levels by applying an elastic-net-VAR method. A semiparametric function coefficient model is introduced to test the time-varying influence of oil price uncertainty (OVX) on the stability of the energy system. The results reveal that volatility spillovers across global energy firms are strong and crisis-sensitive. The 2008 financial crisis and COVID-19 pandemic have significantly increased the connectedness of the energy system. Transnational risk transmission assumes the main part of risk migration among energy enterprises and becomes more pronounced in crisis periods. Energy companies in Europe and North America are the main risk transmitters, whereas those in Asia are the chief risk receivers. Moreover, OVX has a positive effect on the volatility spillover of the energy system, and the effect is significantly enhanced during the breakout of extreme events. These findings conclude that tracking risk connectedness in the energy system and understanding its key drivers are important for investment decisions and regulatory policy settings involving energy.

Keywords: COVID-19 pandemic; High-dimensional network; Oil price uncertainty; Semiparametric function coefficient model; Volatility spillover (search for similar items in EconPapers)
JEL-codes: C22 D81 E44 G14 Q43 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0939362524000153
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:ecosys:v:48:y:2024:i:2:s0939362524000153

DOI: 10.1016/j.ecosys.2024.101193

Access Statistics for this article

Economic Systems is currently edited by R. Frensch

More articles in Economic Systems from Elsevier Contact information at EDIRC.
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000153