Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets

This paper aims to assess the dynamic linkages between crude oil futures contracts, renewable energy indices, carbon credit futures indices and several US sector market indices by applying the DECO-GARCH model and the connectedness index of Diebold and Yilmaz (2012). The analysis is conducted on a d...

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Autores: Koczar , Monika W, Jareño Cebrián, Francisco, Escribano López, Ana María
Tipo de recurso: artículo
Fecha de publicación:2024
País:España
Institución:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/39503
Acceso en línea:https://doi.org/10.1016/j.najef.2024.102247
https://www.sciencedirect.com/science/article/pii/S1062940824001724
https://hdl.handle.net/10578/39503
Access Level:acceso abierto
Palabra clave:Connectedness
Crude oil prices
Equicorrelation
Financial shocks
Information transmission
Stock markets
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spelling Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy marketsKoczar , Monika WJareño Cebrián, FranciscoEscribano López, Ana MaríaConnectednessCrude oil pricesEquicorrelationFinancial shocksInformation transmissionStock marketsThis paper aims to assess the dynamic linkages between crude oil futures contracts, renewable energy indices, carbon credit futures indices and several US sector market indices by applying the DECO-GARCH model and the connectedness index of Diebold and Yilmaz (2012). The analysis is conducted on a daily data sample from August 2014 to February 2024 and performed at both the aggregated and disaggregated levels. The disaggregated analysis revealed that the correlation between the variables was lower before periods of stress, such as the COVID-19 crisis and the Russian–Ukrainian conflict as well as a complex correlation structure with a diverse mix of positive and negative values between different pairs of variables. Moreover, the static connectedness results in terms of returns underscore a significant degree of interconnection and transmission of shocks between oil prices and sector markets, renewable energy, and carbon credit futures indices. In addition, the results highlight the responsiveness of the clean energy and carbon credit sectors to global circumstances and economic conditions. The study concludes with a dynamic connectedness analysis, highlighting once again the intricate connections and interactions between all the variables, which are exacerbated during periods of market instability and key events. The net interconnectedness analysis demonstrated that changes in crude oil prices have a significant impact on most of the variables analyzed. The findings of this study have clear implications for a wide range of market participants, policy-makers, and individuals managing portfolios, particularly in terms of diversification opportunities.Elsevier202420242024info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://doi.org/10.1016/j.najef.2024.102247https://www.sciencedirect.com/science/article/pii/S1062940824001724https://hdl.handle.net/10578/39503reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésPID2021-128829NB-10010.13039/501100011033SBPLY/21/180501/0000862022-GRIN-34491info:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/395032026-05-27T07:36:41Z
dc.title.none.fl_str_mv Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
title Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
spellingShingle Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
Koczar , Monika W
Connectedness
Crude oil prices
Equicorrelation
Financial shocks
Information transmission
Stock markets
title_short Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
title_full Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
title_fullStr Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
title_full_unstemmed Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
title_sort Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets
dc.creator.none.fl_str_mv Koczar , Monika W
Jareño Cebrián, Francisco
Escribano López, Ana María
author Koczar , Monika W
author_facet Koczar , Monika W
Jareño Cebrián, Francisco
Escribano López, Ana María
author_role author
author2 Jareño Cebrián, Francisco
Escribano López, Ana María
author2_role author
author
dc.subject.none.fl_str_mv Connectedness
Crude oil prices
Equicorrelation
Financial shocks
Information transmission
Stock markets
topic Connectedness
Crude oil prices
Equicorrelation
Financial shocks
Information transmission
Stock markets
description This paper aims to assess the dynamic linkages between crude oil futures contracts, renewable energy indices, carbon credit futures indices and several US sector market indices by applying the DECO-GARCH model and the connectedness index of Diebold and Yilmaz (2012). The analysis is conducted on a daily data sample from August 2014 to February 2024 and performed at both the aggregated and disaggregated levels. The disaggregated analysis revealed that the correlation between the variables was lower before periods of stress, such as the COVID-19 crisis and the Russian–Ukrainian conflict as well as a complex correlation structure with a diverse mix of positive and negative values between different pairs of variables. Moreover, the static connectedness results in terms of returns underscore a significant degree of interconnection and transmission of shocks between oil prices and sector markets, renewable energy, and carbon credit futures indices. In addition, the results highlight the responsiveness of the clean energy and carbon credit sectors to global circumstances and economic conditions. The study concludes with a dynamic connectedness analysis, highlighting once again the intricate connections and interactions between all the variables, which are exacerbated during periods of market instability and key events. The net interconnectedness analysis demonstrated that changes in crude oil prices have a significant impact on most of the variables analyzed. The findings of this study have clear implications for a wide range of market participants, policy-makers, and individuals managing portfolios, particularly in terms of diversification opportunities.
publishDate 2024
dc.date.none.fl_str_mv 2024
2024
2024
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.najef.2024.102247
https://www.sciencedirect.com/science/article/pii/S1062940824001724
https://hdl.handle.net/10578/39503
url https://doi.org/10.1016/j.najef.2024.102247
https://www.sciencedirect.com/science/article/pii/S1062940824001724
https://hdl.handle.net/10578/39503
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv PID2021-128829NB-100
10.13039/501100011033
SBPLY/21/180501/000086
2022-GRIN-34491
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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