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Connectedness of energy markets around the world during the COVID-19 pandemic

Akyildirim, Erdinc; Cepni, Oguzhan; Molnár, Peter; Uddin, Gazi Salah (2022). Connectedness of energy markets around the world during the COVID-19 pandemic. Energy Economics, 109:105900.

Abstract

his paper studies the connectedness among energy equity indices of oil-exporting and oil-importing countries around the world. For each country, we construct time-varying measures of how much shocks this country transmits to other countries and how much shocks this country receives from other countries. We analyze the network of countries and find that, on average, oil-exporting countries are mainly transmitting shocks, and oil-importing countries are mainly receiving shocks. Furthermore, we use panel data regressions to evaluate whether the connectedness among countries is influenced by economic sentiment, uncertainty, and the global COVID-19 pandemic. We find that the connectedness among countries increases significantly in periods of uncertainty, low economic sentiment, and COVID-19 problems. This implies that diversification benefits across countries are severely reduced exactly during crises, that is, during the times when diversification benefits are most important.

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Economics and Econometrics
Physical Sciences > General Energy
Scope:Discipline-based scholarship (basic research)
Language:English
Date:May 2022
Deposited On:30 Dec 2022 06:22
Last Modified:28 Oct 2024 02:40
Publisher:Elsevier
ISSN:0140-9883
OA Status:Hybrid
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1016/j.eneco.2022.105900
Official URL:https://doi.org/10.1016/j.eneco.2022.105900
Other Identification Number:merlin-id:23036
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