Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets
Yong Tang and
Energy, 2020, vol. 207, issue C
Asia as the largest continent which has the highest consumption of energy, so analyzing the impact of spillover and energy crisis is crucial for this region. In this article the volatility spillovers connections among crude oil, leading Asian oil-exporting and oil-importing countries’ stock exchanges are scrutinized. This study applies the VAR-DCC-GARCH model to examine the spillover network structure with the nine years of daily data from September 01, 2009 to August 31, 2018. The results of these analyses have been displayed the network connections using complex networking technique. Overall strong spillover relations were found among oil-exporting as well as with oil prices. The strong interconnection is alarming for these economies, it is recommended to diversify their dependence on other sectors of the economy too. On the other side, oil-importing countries documented low as well as fewer interconnections and also with oil prices. It means these economies are more self-dependent, they also need to make long term planning to deal with future crisis shocks. Further, the findings of this study will provide an insight to researchers and policymakers regarding the spillover networking among oil and leading Asian trading countries’ stock markets. The networking of the oil price spillover can be extended for the Asian oil trade and subsequent to the whole world.
Keywords: Stock market; Oil prices; Volatility; VAR-DCC-GARCH; Oil-export; Oil-import (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:207:y:2020:i:c:s0360544220311841
Access Statistics for this article
Energy is currently edited by Henrik Lund and Mark J. Kaiser
More articles in Energy from Elsevier
Bibliographic data for series maintained by Haili He ().