Global energy markets connectedness: evidence from time–frequency domain

Mobeen Ur Rehman, Muhammad Abubakr Naeem, Nasir Ahmad, Xuan Vinh Vo

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)

Abstract

We examine the presence of dependence across 51 energy markets classified into different regions from Jan 2007 to June 2021. In order to examine the presence of dependence across different energy markets, we apply standard and threshold dependence measures proposed by Diebold and Yilmaz, Int J Forecast 28:57-66, (2012) and Baruník and Křehlík, J Financ Econ 16(2):271-296, (2018). We highlight the presence of strong dependence between the energy markets at both regional level and across other regions. European and American energy markets are highly connected within the region over the long-run whereas Asia–Pacific and the African energy markets offer optimal diversification opportunities. Both short- and long-run dependence exists between Chinese and the Hong Kong energy markets and between the US and Canadian energy markets. We also witness substantial increase dependence across all the energy markets during different crisis periods.

Original languageEnglish
Pages (from-to)34319-34337
Number of pages19
JournalEnvironmental Science and Pollution Research
Volume30
Issue number12
DOIs
Publication statusPublished - Mar 2023

Keywords

  • Connectedness
  • Dependence
  • Energy markets
  • Spillover
  • Time–frequency

ASJC Scopus subject areas

  • Environmental Chemistry
  • Pollution
  • Health, Toxicology and Mutagenesis

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