Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

Al-Hajieh, 2023, Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries, Cogent Econ. Financ., 11, 10.1080/23322039.2023.2173124 Apergis, 2009, Do structural oil-market shocks affect stock prices?, Energy Econ., 31, 569, 10.1016/j.eneco.2009.03.001 Arezki, R., Jakab, Z., Laxton, D., Matsumoto, A., Nurbekyan, A., Wang, H., Yao, J., 2017. Oil Prices and the Global Economy. IMF Working Paper. Arouri, 2011, Volatility spillovers between oil prices and stock sector returns: implications for portfolio management, J. Int. Money Financ., 30, 1387, 10.1016/j.jimonfin.2011.07.008 Ashok, S., Corbet, S., Dhingra,D.. Goodell, John, Kumar, S., Yadav, M.P., 2022. Are energy markets informationally smarter than equity markets? Evidence from the COVID-19 experience. Finance Research Letters, https://doi.org/10.1016/j.frl.2022.102728. Barunik, 2017, Measuring the frequency dynamics of financial connectedness and systemic risk, J. Financ. Econ., 16, 271 Bastianin, A., Conti, F., Manera, M., 2016. The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. Energy Policy, 98(C), 160–169. Bouteska, 2023, COVID-19 and stock returns: evidence from the Markov switching dependence approach, Res. Int. Bus. Financ. (RIBAF), 10.1016/j.ribaf.2023.101882 Chang, 2013, Conditional correlations and volatility spillovers between crude oil and stock index returns, North Am. J. Econ. Financ., 25, 116, 10.1016/j.najef.2012.06.002 Chen, 2015, The extreme-value dependence between the crude oil price and Chinese stock markets, Int. Rev. Econ. Financ., 39, 122, 10.1016/j.iref.2015.03.007 Choi, 2010, Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment, Energy Policy, 38, 4388, 10.1016/j.enpol.2010.03.067 Cong, 2013, Relationships among energy price shocks, stock market, and the macroeconomy: evidence from China, Sci World J, 10.1155/2013/171868 Diebold, 2012, Better to give than to receive: predictive directional measurement of volatility spillovers, Int J. Forecast., 28, 57, 10.1016/j.ijforecast.2011.02.006 Economou (2016). Oil Price Shocks: A Measure of the Exogenous and Endogenous Supply Shocks of Crude Oil. The Oxford Institute for Energy Studies. Available at: https://www.oxfordenergy.org/wpcms/wp-content/uploads/2016/08/Oil-Price-Shocks-A-Measure-of-the-Exogenus-and-Endogenous-Supply-Shocks-of-Crude-Oil-WPM-68.pdf. Engle, 2002, Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, J Bus Econ Stat, 20, 339, 10.1198/073500102288618487 Fan, 2017, What policy adjustments in the EU ETS truly affected the carbon prices, Energy Policy, 103, 145, 10.1016/j.enpol.2017.01.008 Fang, 2018, Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns, Phys. A: Stat. Mech. its Appl., 509, 551, 10.1016/j.physa.2018.05.136 Filis, 2011, Dynamic correlation between stock market and oil prices: the case of oil-importing and oil-exporting countries. International Review of Financial, Analysis, 20, 152 Friston, 2003, Dynamic causal modelling, Neuroimage, 19, 1273, 10.1016/S1053-8119(03)00202-7 Ghorbel, 2014, Behavioral explanation of contagion between oil and stock markets, Int. J. Energy Sect. Manag., 8, 121, 10.1108/IJESM-09-2012-0007 Goodell, 2022, Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin. International Review of Financial, Analysis, 84 Granger, 1969, Investigating causal relations by economet- ric models and cross-spectral methods, Econometrica, 37, 424, 10.2307/1912791 Gupta, 2012, Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets. International Review of Financial, Analysis, 21, 10 Hamilton, 1983, Oil and the macroeconomy since World War Ⅱ, J. Political Econ., 91 Huang, 1996, Energy shocks and financial markets, J. Futur. Mark., 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q Hung, 2020, Market integration among foreign exchange rate movements in central and eastern European countries, Soc. Econ., 42, 1 Hussin, 2012, Mobile learning readiness among Malaysian students at higher learning institutes, Asian Soc. Sci., 8, 276, 10.5539/ass.v8n12p276 Jiang, 2022, The time-frequency connectedness among carbon, traditional/new energy and material markets of China in pre- and post-COVID-19 outbreak periods, Energy, 246 Jones, 1996, Oil and the stocks markets, J. Financ, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x Khalfaoui, 2015, Analyzing Volatility spillovers and hedging between oil and stock markets- Evidence from wavelet analysis, Energy Econ., 49, 540, 10.1016/j.eneco.2015.03.023 Khera, 2022, Capturing the stock market volatility: a study of Sectoral Indices in India using symmetric GARCH Models, Int. J. Manag. Pract., 15, 820 Kling, 1985, Oil price shocks an stock market behaviour, J. Portf. Manag, 12, 34, 10.3905/jpm.1985.409034 Lin, 2019, Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: a case of Beijing CET market in China, Energy, 172, 1198, 10.1016/j.energy.2019.02.029 Liu, 2019, Risk spillover effects of international crude oil market on China's major markets, AIMS Energy, 7, 819, 10.3934/energy.2019.6.819 Ma, 2020, Research on the dynamic linkage among the carbon emission trading, energy and capital markets, J. Clean. Prod., 272 Malik, 2009, Volatility transmission between oil prices and equity sector returns, Int. Rev. Financ. Anal., 18, 95, 10.1016/j.irfa.2009.03.003 Malik, 2007, Shock and volatility transmission in the oil, US Gulf Equity Mark. Int. Rev. Econ. Financ., 16, 357, 10.1016/j.iref.2005.05.005 Meng, 2020, Risk spillover effects from global crude oil market to China’s commodity sectors, Energy, 202 Onour, 2010, GCC stock markets: how risky are they?, Int. J. Monet. Econ. Financ., 3, 330, 10.1504/IJMEF.2010.035595 Park, 2008, Oil price shocks and stock markets in the US and 13 European countries, Energy Econ., 30, 2587, 10.1016/j.eneco.2008.04.003 Roebroeck, A., 2015. Granger Causality, in: Toga, A.W. (Eds.), Brain Mapping. Academic Press, pp. 593–597, https://doi.org/10.1016/B978–0-12–397025-1.00337–7. Sadorsky, 1999, Oil price shocks and stock market activity, Energy Econ., 21, 449, 10.1016/S0140-9883(99)00020-1 Sadorsky, 2003, The macroeconomic determinants of technology stock price volatility, Rev. Financ. Econ., 12, 191, 10.1016/S1058-3300(02)00071-X Tan, 2020, How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics, Energy Econ., 90, 10.1016/j.eneco.2020.104870 Vivian, 2012, Commodity volatility breaks, J. Int. Financ. Mark., Inst. Money, 22, 395, 10.1016/j.intfin.2011.12.003 Wang, 2016, Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging, Empir. Econ., 50, 1481, 10.1007/s00181-015-0983-2 World Population Review, 2022. World Population by Country. Retrieved Oct 3, 2022, fromhttps://worldpopulationreview.com/country-rankings/energy-consumption-by-country. Wu, 2022, A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China, Energy, 254(A), Artic. Xiao, D., Wang, J., 2020. Dynamic complexity and causality of crude oil and major stock markets. Energy, 193, Article 116791. Yadav, 2022, Financial and energy exchange traded funds futures: anevidence of spillover and portfolio hedging. Annals of Operation, Research Yousaf, 2019, Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash, Financ. Res. Lett., 31 Zhang, 2015, The oil price shocks and Nordic stock markets, Int. J. Trade Glob. Mark., 7, 300, 10.1504/IJTGM.2014.067260 Zhu, 2020, Exploring the risk spillover effects between carbon market and electricity market: a bidimensional empirical mode decomposition based conditional value at risk approach, Int Rev. Econ. Financ., 67, 163, 10.1016/j.iref.2020.01.003