Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors |
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| Affiliation: | 1. School of Accountancy, Tianjin University of Finance and Economics, Tianjin, China;1. Jinan University, China;2. Guangzhou University, China;1. College of Business Administration, Capital University of Economics and Business, Beijing, China;2. School of Finance, Renmin University of China, Beijing, China;3. Guanghua School of Management, Peking University, Beijing, China;1. School of Economics and Management, Southwest Jiaotong University, Chengdu, China;2. Service Science and Innovation Key Laboratory of Sichuan Province, China |
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| Abstract: | Integration between international energy prices and stock market returns is critical for global economics and politics. In this study, we employ a TVP-VAR (time-varying parameter vector autoregression) connectedness decomposition approach to investigate the time-varying linkages between a diversified energy portfolio comprising oil, coal, natural gas, and stock returns in G7 countries and China. This approach allows us to show the dynamic spillovers and explore the driving factors underlying the dynamic patterns. We find that geopolitical risks, global economic policy uncertainties, and equity market volatility can influence cross-market spillovers. This study expounds the effect of energy financialization. |
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