How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe
Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North Amer...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-02-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/13/3/727 |
| _version_ | 1817992516196106240 |
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| author | Wenting Zhang Xie He Tadahiro Nakajima Shigeyuki Hamori |
| author_facet | Wenting Zhang Xie He Tadahiro Nakajima Shigeyuki Hamori |
| author_sort | Wenting Zhang |
| collection | DOAJ |
| description | Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North America. Furthermore, compared to natural gas, crude oil has a greater volatility spillover on the electricity utility stock indices in North America and Europe. Second, in frequency domain, most of the return spillover occurs in the short-term, while most of the volatility spillover occurs over a longer period. Third, the rolling analyses indicate that the return and volatility from 2009 to late 2013 remained stable in North America and Europe, which may be a result of the 2008 global financial crisis, and started to fluctuate after late 2013 due to some extreme events, indicating that extreme events can significantly influence spillover effects. Moreover, investors should monitor current events to diversify their portfolios properly and hedge their risks. |
| first_indexed | 2024-04-14T01:27:47Z |
| format | Article |
| id | doaj.art-03f0b5245e164b40a4ae1af903adbba5 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-04-14T01:27:47Z |
| publishDate | 2020-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-03f0b5245e164b40a4ae1af903adbba52022-12-22T02:20:20ZengMDPI AGEnergies1996-10732020-02-0113372710.3390/en13030727en13030727How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and EuropeWenting Zhang0Xie He1Tadahiro Nakajima2Shigeyuki Hamori3Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, JapanGraduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, JapanGraduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, JapanGraduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, JapanOur study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North America. Furthermore, compared to natural gas, crude oil has a greater volatility spillover on the electricity utility stock indices in North America and Europe. Second, in frequency domain, most of the return spillover occurs in the short-term, while most of the volatility spillover occurs over a longer period. Third, the rolling analyses indicate that the return and volatility from 2009 to late 2013 remained stable in North America and Europe, which may be a result of the 2008 global financial crisis, and started to fluctuate after late 2013 due to some extreme events, indicating that extreme events can significantly influence spillover effects. Moreover, investors should monitor current events to diversify their portfolios properly and hedge their risks.https://www.mdpi.com/1996-1073/13/3/727natural gascrude oilelectricity utilities sector indexspillover effecttime–frequency dynamics |
| spellingShingle | Wenting Zhang Xie He Tadahiro Nakajima Shigeyuki Hamori How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe Energies natural gas crude oil electricity utilities sector index spillover effect time–frequency dynamics |
| title | How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe |
| title_full | How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe |
| title_fullStr | How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe |
| title_full_unstemmed | How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe |
| title_short | How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe |
| title_sort | how does the spillover among natural gas crude oil and electricity utility stocks change over time evidence from north america and europe |
| topic | natural gas crude oil electricity utilities sector index spillover effect time–frequency dynamics |
| url | https://www.mdpi.com/1996-1073/13/3/727 |
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