New roles for energy and financial markets in spillover connections: context under COVID-19 and the Russia–Ukraine conflict

Xiaozhu Guo, Xinjie Lu, Shaobo Mu and Min Zhang

Research in International Business and Finance, 2024, vol. 71, issue C

Abstract: This paper comprehensively investigates spillover connections among eight markets in the context of COVID-19 and the Russia–Ukraine conflict. The spillover effects are investigated from the perspectives of average and dynamic network connectedness effects. Empirical results show that changes in market stability are caused during the two periods investigated, and the effect during COVID-19 is stronger. In addition, among the spillover frameworks of energy and financial markets, the crude oil and equity markets were the major risk sources under COVID-19, while natural gas was the major risk source during the Russia–Ukraine conflict. This paper provides new insights on the spillover connections among eight markets based on the crisis periods of the COVID-19 pandemic and the Russia–Ukraine conflict.

Keywords: Spillover; Financial market; Clean energy stock market (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:71:y:2024:i:c:s027553192400196x

DOI: 10.1016/j.ribaf.2024.102403

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