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Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

Miklesh Prasad Yadav, Taimur Sharif, Shruti Ashok, Deepika Dhingra, Abedin Abedin

Research in International Business and Finance, Volume: 65, Start page: 101948

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1016/j.ribaf.2023.101948

Abstract

This paper investigates spillover from energy commodities to Shanghai stock exchange and European Stock market, and identifies possible risks transmission and portfolio diversification opportunities. The study is conducted on daily spot prices of carbon (CO2) emission, natural gas and crude oil from...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2023
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URI: https://cronfa.swan.ac.uk/Record/cronfa64242
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spelling v2 64242 2023-08-31 Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF This paper investigates spillover from energy commodities to Shanghai stock exchange and European Stock market, and identifies possible risks transmission and portfolio diversification opportunities. The study is conducted on daily spot prices of carbon (CO2) emission, natural gas and crude oil from 16 December 2010 to 29 December 2022, employing Granger causality test, dynamic conditional correlation (DCC), Diebold-Yilmaz (2012) and Barunik-Krehlic (2017) models. Results identify higher volatility and imply greater connectedness in the longer run. Additionally, natural gas is witnessed as the highest contributor of the shocks and crude oil as the highest receiver of the shocks from the network connection. Further results suggest for investment in energy commodities in shorter run rather than long run for efficient portfolio diversification. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, given the suggestion of this study to incorporate energy stocks for efficient diversification of risk. Journal Article Research in International Business and Finance 65 101948 Elsevier BV 0275-5319 1878-3384 Spillover, Energy commodity, Chinese stock market, European stock market, Portfolio diversification 30 4 2023 2023-04-30 10.1016/j.ribaf.2023.101948 http://dx.doi.org/10.1016/j.ribaf.2023.101948 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University The authors received no financial support for the research, authorship, and/or publication of this article. 2023-09-20T10:58:21.3928032 2023-08-31T17:44:06.1277123 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Miklesh Prasad Yadav 1 Taimur Sharif 2 Shruti Ashok 3 Deepika Dhingra 4 Abedin Abedin 5 64242__28586__373c964aab2c4912b0b2244e67cf96c0.pdf 64242.VOR.pdf 2023-09-19T14:41:33.0637363 Output 2286490 application/pdf Version of Record true © 2023 The Author(s). Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/
title Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
spellingShingle Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
Abedin Abedin
title_short Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
title_full Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
title_fullStr Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
title_full_unstemmed Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
title_sort Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Miklesh Prasad Yadav
Taimur Sharif
Shruti Ashok
Deepika Dhingra
Abedin Abedin
format Journal article
container_title Research in International Business and Finance
container_volume 65
container_start_page 101948
publishDate 2023
institution Swansea University
issn 0275-5319
1878-3384
doi_str_mv 10.1016/j.ribaf.2023.101948
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.ribaf.2023.101948
document_store_str 1
active_str 0
description This paper investigates spillover from energy commodities to Shanghai stock exchange and European Stock market, and identifies possible risks transmission and portfolio diversification opportunities. The study is conducted on daily spot prices of carbon (CO2) emission, natural gas and crude oil from 16 December 2010 to 29 December 2022, employing Granger causality test, dynamic conditional correlation (DCC), Diebold-Yilmaz (2012) and Barunik-Krehlic (2017) models. Results identify higher volatility and imply greater connectedness in the longer run. Additionally, natural gas is witnessed as the highest contributor of the shocks and crude oil as the highest receiver of the shocks from the network connection. Further results suggest for investment in energy commodities in shorter run rather than long run for efficient portfolio diversification. Results from this study are expected to have practical implications for portfolio managers, investors, and market regulators, given the suggestion of this study to incorporate energy stocks for efficient diversification of risk.
published_date 2023-04-30T10:58:18Z
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score 11.036815

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