ArticleInternational review of financial analysis2021
Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19.
Article in International review of financial analysis, 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.
- Interstage market spillovers of the photovoltaic industry chain in China.Scientific reports · 2025Article
- Article
- Chinese stock market integration with developed world: A portfolio diversification analysis.Heliyon · 2024Article
- Identifying dynamic risk spillovers between crude oil and downstream industries: China's futures market perspective.Environmental science and pollution research international · 2024Article
- The impact of pandemic on dynamic volatility spillover network of international stock markets.Empirical economics · 2023Article
- Direct and spillover portfolio effects of COVID-19.Research in international business and finance · 2023Article
- Analysis of risk correlations among stock markets during the COVID-19 pandemic.International review of financial analysis · 2022Article
- The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic.Research in international business and finance · 2022Article
- Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19.International review of financial analysis · 2022Article
- Dynamic Multiscale Information Spillover among Crude Oil Time Series.Entropy (Basel, Switzerland) · 2022Article
- The correlations among COVID-19, the effect of public opinion, and the systemic risks of China's financial industries.Physica A · 2022Article
- Modeling long-term impacts of the COVID-19 pandemic and oil price declines on Gulf oil economies.Economic modelling · 2022Article
- Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets.International review of financial analysis · 2022Article
- A residual driven ensemble machine learning approach for forecasting natural gas prices: analyses for pre-and during-COVID-19 phases.Annals of operations research · 2022Article
- COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach.Frontiers in public health · 2022Article
- The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk.Frontiers in public health · 2022Article
- The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China.Energy economics · 2021Article
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3 authors.
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Abstract
This study combined time-varying parameter vector autoregression (TVP-VAR) and a spillover index model to analyze the static, total, and net spillover effects of energy and stock markets before and after the COVID-19 outbreak. A network method was also used to depict structural changes more intuitively. Furthermore, we calculated and compared changes in the hedge ratio, optimal portfolio weights, and hedge effectiveness to guide investors to adjust portfolio strategies during COVID-19. The main findings were as follows: First, COVID-19 had a significant impact on spillover effects, and the average value of total spillover index increased by 19.94% compared with that before the epidemic. Second, the energy market was an important risk recipient of the stock market before COVID-19, and the extent of risk acceptance increased after the COVID-19 outbreak. Third, the hedging ratio, optimal portfolio weights, and hedge effectiveness showed huge changes after the COVID-19 outbreak, requiring investors to adjust their portfolio strategies.
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