Document
Information transmission in regional energy stock markets
Linked Agent
Karim, Sitara , Author
Meero, Abdelrhman Ahmed, Author
Rabbani, Mustafa Raza, Author
Naeem, Muhammad Abubakr , Author
Title of Periodical
Environmental Science and Pollution Research
Issue published
Volume 30, pages 43000–43012
Country of Publication
Germany
Place Published
Berlin
Publisher
Springer-Verlag GmbH
Date Issued
2022
Language
English
Subject
English Abstract
Abstract:
Since markets are undergoing severe turbulent economic periods, this study investigates the information transmission of energy stock markets of five regions including North America, South America, Europe, Asia, and Pacific where we differentiated the regional energy markets based on their developing and developed state of economy. We employed time–frequency domain from Jan 1995 to May 2021 and found that energy stocks of developed regions are highly connected. The energy markets of North America, South America, and Europe are the net transmitters of spillovers, whereas the Asian and Pacific energy markets are the net receivers of spillovers. The results also reveal that the connectedness of regional energy markets is time and frequency dependent. Regional energy stocks were highly connected following the Asian financial crisis (AFC), global financial crisis (GFC), European debt crisis (EDC), shale oil revolution (SOR), and COVID-19 pandemic. Time-dependent results reveal that high spillovers formed during stress periods and frequency domain show the higher connectedness of regional energy stock markets in the short run followed by an extreme economic condition. These results have significant implications for policymakers, regulators, investors, and regional controlling bodies to adopt effective strategies during short run to avoid economic downturns and information distortions.
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Identifier
https://digitalrepository.uob.edu.bh/id/21b2d545-ff9e-44c9-bf55-dd1747cb4f6e
Same Subject