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

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

doi:10.1016/j.ribaf.2023.101948

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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
Online Access:	Check full text
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
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hierarchy_top_title	Faculty of Humanities and Social Sciences
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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
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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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Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

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