Interdependence Between Energy Commodities and Global Stock Indices: A Volatility Transmission Approach

Pritpal Singh Bhullar, Pradeep Kumar Gupta, Kiranmai J. and Deepak Tandon

FIIB Business Review, 2026, vol. 15, issue 3, 353-366

Abstract: This study aims to investigate the volatility transmission between energy commodities and global stock indices. Two primary energy commodities, Brent crude oil and Natural gas, are considered using monthly data from January 2001 to June 2023. Dynamic conditional correlation–GARCH method has been employed to examine the interdependence between two selected energy commodities and stock indices of India, the United States and Japan. The results show a high degree of interdependence between Brent crude oil and the global stock market indices of India, the United States and Japan compared to natural gas. The study also shows that long-run shocks persistent by the crude oil price variability have a more substantial influence on the global stock indices of India, the United States and Japan than short-run stocks. Swings in commodity prices and their effect on the stock market volatility indicate that policymakers and regulators should learn about financial system risks and vulnerability to external shocks.

Keywords: Crude oil; natural gas; global stock indices; DCC–GARCH; long-run shocks (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:sae:fbbsrw:v:15:y:2026:i:3:p:353-366

DOI: 10.1177/23197145241288974

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