제목 : Interdependence and spillovers between big oil companies and regional and global energy equity markets




저자 : Waqas Hanif, Jose Areola Hernandez, Sang Hoon Kang, Gideon Boako and Seong-Min Yoon




요약
We examine the spillovers and nonlinear dependence dynamics between big oil super majors and regional and global energy equity markets. We draw our results by fitting a directional spillover index, a conditional value-at-risk (CoVaR) method, and time-varying parameter copulas. Spillover index results indicate that big oil supermajors most largely spillover on the EU energy equity sector than on the US energy equity sector. The big oil supermajor BP consistently exerts some of the largest spillovers across regional and global energy markets. The CoVaR analysis shows that on the downside Royal Dutch Shell A most largely spillovers on the US energy equity sector, while Royal Dutch Shell B does it on the upside. In the downside Chevron most largely spillovers on the EU energy equity sector, while BP does it on the upside. In the downside ExxonMobil most largely spillovers in the world energy equity sector, while Royal Dutch Shell B does it on the upside. Copula results indicate asymmetric dependence between big oil supermajors and the US energy equity sector. The relationship between big oil supermajors and the EU energy equity sector is characterised by symmetric dependence dynamics.