Information transmission in regional energy stock markets

Suha M. Alawi, Sitara Karim, Abdelrhman Ahmed Meero, Mustafa Raza Rabbani, Muhammad Abubakr Naeem

Research output: Contribution to journalArticlepeer-review

19 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)43000-43012
Number of pages13
JournalEnvironmental Science and Pollution Research
Volume30
Issue number15
DOIs
Publication statusPublished - Mar 2023

Keywords

  • COVID-19
  • GFC
  • Information transmission
  • Regional energy markets
  • Time–frequency

ASJC Scopus subject areas

  • Environmental Chemistry
  • Pollution
  • Health, Toxicology and Mutagenesis

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