期刊论文

Zhang, H

英文

Energy Economics

0140-9883

2024

132

107475

10.1016/j.eneco.2024.107475

CRediT authorship contribution statement Hailing Li: Writing – review & editing, Supervision, Resources, Project administration, acquisition, Data curation, Conceptualization. Xiaoyun Pei: Writing – original draft, Methodology, Formal analysis. Yimin Yang: Writing – review & editing, Supervision, Project administration, Conceptualization. Hua Zhang: Writing – review & editing, Methodology, Investigation, Formal analysis, Data curation, Conceptualization. Acknowledgment Funding: This research was supported by the National Natural Science Foundation of China (Nos.72203059), the National Natural Science Foundation of Hunan Province (Nos.2023JJ40336), the National Social Science Fund of China (Nos.19BJY157), the Humanities and Social Science Project of the Ministry of Education (Nos. 22YJCZH078).

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Combined the new metric Energy-Related Uncertainty Index (EUI) and novel Decomposed R2 Connectedness framework, with monthly dataset covers 19 G20 stock market returns from January 2004 to October 2022, this paper examines the dynamic overall, contemporaneous and lagged spillover effect between energy market and G20 stock markets. This paper has the following important and interesting conclusions: Firstly, the spillover effect of EUI and G20 stock markets are contemporaneous dominated. All the contemporaneous From and To connectedness indicators are higher than lagged connectedness except for ...