Abstract
In this paper, we highlight and empirically analyze spillover effect of oil and natural gas prices between emerging and developed over the period from December 2001 to Jun 2017. A Granger causality test and DY spillover index is used to investigate the connectedness in energy markets of USA, Europe and China. Our main findings are that oil and natural gas markets have significant Granger causality. Furthermore, the emerging markets play an important role for many developed markets both in returns and volatility spillover systems. The spillover index between different markets have clear time-varying characteristics and has a strongly correlation with specific events. These results can have good applicability in practice.
Original language | English |
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Pages (from-to) | 30-45 |
Journal | Green Finance |
Volume | 1 |
Issue number | 1 |
Publication status | Published - 15 Mar 2019 |
Keywords
- Spillover effect
- DY index
- Granger causality test
- oil
- Natural gas
- Emerging countries
- Developed countries