Global connectedness of MSCI energy equity indices: A system-wide network approach

Global energy markets connectedness: evidence from time–frequency domain

“…Our results highlight that among the European energy markets, SLO acts as a net recipient of spillover from American (COL and CHI), African (SAF), and Asia–Pacific (RUS, NZL, JOR, and JPN) energy markets. These results are different from the ones reported by Singh et al ( 2019 ) that the energy markets within the Asia–Pacific region are connected with the Russian energy markets which act as a major transmitter of spillover. In addition, NOR appears as the major recipient of information from the TUR and SWE energy markets during COVID-19 pandemic.…”

“…These results are in line with the previous results of Singh et al ( 2019 ) who also report significant connectedness of returns among European and North American energy markets. USA, BRA, and CAN among the American energy markets appear as net recipient of spillover from both the regional and cross-regional energy markets with strong spillover in magnitude between the USA and the CAN energy markets.…”

“…A significant strand of literature documents relationship between different energy commodities (Mensi et al 2021b ; Gupta et al, 2018 ; Ji et al 2018 ; Wang & Guo, 2018 ). Singh et al ( 2019 ) examine spillover connectedness among MSCI Europe, North and Latin America, Asia–Pacific, and the African energy market indexes and highlight significant connectedness in returns of European and the North American energy markets. 3 Rehman ( 2020 ) examine pairwise returns co-movement among developed and emerging energy markets and report diversification benefits between the developed and emerging energy markets.…”

“…There are studies which focus on returns integration between energy commodities during the global financial crisis period in 2008–09 (Albulescu et al, 2020 ) and the COVID-19 pandemic period (Abadie 2021 ; Bouri et al 2021 ; Zhang et al 2021 ). According to Singh et al ( 2019 ), energy markets in the Asia–Pacific region exhibit high connectedness with the Russia market which act as a major transmitter of spillover. Naeem et al ( 2020 ) analyze relationship between energy, electricity, carbon, and clean energy markets and report time-varying connectedness which further intensifies during the global financial crisis period (2008–09).…”

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

“…However, less attention has been paid to the connectedness of energy sectors of various countries. The paper most closely related to our work is Singh et al (2019) , which calculate the connectedness among MSCI energy indices. However, our paper takes the analysis one step further and studies which variables can explain the connectedness, focusing on the COVID-19 pandemic.…”