ArticleResearch in international business and finance2021
Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?
Article in Research in international business and finance, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 17 papers.
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Who cites it
17 citing papers in PubMed.
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- Article
- The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches.Energy economics · 2023Article
- Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.Finance research letters · 2023Article
- Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis.International review of financial analysis · 2023Article
- Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China.Resources policy · 2022Article
- Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic.Finance research letters · 2022Article
- Did the COVID-19 pandemic (really) positively impact the IPO Market? An Analysis of information uncertainty.Finance research letters · 2022Article
- Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities.Energy economics · 2022Article
- The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic.Finance research letters · 2022Article
- COVID-19 and adaptive behavior of returns: evidence from commodity markets.Humanities & social sciences communications · 2022Article
- The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets.Research in international business and finance · 2022Article
- The Time-Varying Connectedness Between China's Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis.Letters in spatial and resource sciences · 2022Article
- Contagion and portfolio management in times of COVID-19.Economic analysis and policy · 2021Article
- Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices.Resources policy · 2021Article
- Risk transmission from the COVID-19 to metals and energy markets.Resources policy · 2021Article
- Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact.Resources policy · 2021Article
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2 authors.
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Abstract
With the rapid spread of coronavirus, the global financial markets have been undergoing tremendous changes, which bring investors more risks in the short term. Against such background, this study concentrates on the far-reaching energy commodities, aiming to explore the impact of COVID-19 on cross-market linkages. To capture the dynamic nature of interdependence, we applied the TVP-VAR based connectedness index method and individually focused on the total, net, and pairwise connectedness. The empirical results show that there is a dramatic rise in the total connectedness in energy markets following the outbreak of COVID-19, but this change only lasted about two months and then fell back to the prior level. Further analyzing the net spillover conditions, we find that the connectedness structure has also displayed some temporary changes. At last, the spillover networks indicate that there are only three pairwise connectedness relations have changed in direction before and after the outbreak of COVID-19. We also try to discuss the underlying COVID-19 shock propagation mechanism, and the results suggest the significant mediation effect of the financial panic risk. In general, our study offers several urgent and prominent implications to understand the financial impact of COVID-19.
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