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How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

Wenting Zhang (), Xie He (), Tadahiro Nakajima () and Shigeyuki Hamori ()
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Wenting Zhang: Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan
Xie He: Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan
Tadahiro Nakajima: Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan

Energies, 2020, vol. 13, issue 3, 1-1

Abstract: Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North America. Furthermore, compared to natural gas, crude oil has a greater volatility spillover on the electricity utility stock indices in North America and Europe. Second, in frequency domain, most of the return spillover occurs in the short-term, while most of the volatility spillover occurs over a longer period. Third, the rolling analyses indicate that the return and volatility from 2009 to late 2013 remained stable in North America and Europe, which may be a result of the 2008 global financial crisis, and started to fluctuate after late 2013 due to some extreme events, indicating that extreme events can significantly influence spillover effects. Moreover, investors should monitor current events to diversify their portfolios properly and hedge their risks.

Keywords: natural gas; crude oil; electricity utilities sector index; spillover effect; time–frequency dynamics (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
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