How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North Amer...

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Bibliographic Details
Main Authors: Wenting Zhang, Xie He, Tadahiro Nakajima, Shigeyuki Hamori
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Energies
Subjects:
natural gas
crude oil
electricity utilities sector index
spillover effect
time–frequency dynamics
Online Access:https://www.mdpi.com/1996-1073/13/3/727

Internet

https://www.mdpi.com/1996-1073/13/3/727

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