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

2024-04Artigo científico Acesso restrito
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datacite.subject.sdg07:Energias Renováveis e Acessíveis
datacite.subject.sdg08:Trabalho Digno e Crescimento Económico
datacite.subject.sdg09:Indústria, Inovação e Infraestruturas
dc.contributor.authorHanif, Waqas
dc.contributor.authorHernandez, Jose Arreola
dc.contributor.authorKang, Sang Hoon
dc.contributor.authorBoako, Gideon
dc.contributor.authorYoon, Seong-Min
dc.date.accessioned2026-04-20T11:45:56Z
dc.date.available2026-04-20T11:45:56Z
dc.date.issued2024-04
dc.description.abstractWe examine spillovers and nonlinear dependence dynamics between big oil supermajors and regional and global energy equity markets. We derive our empirical 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 to the EU energy equity sector than to the US energy equity sector. A big oil supermajor British Petroleum (BP) consistently exerts some of the largest spillovers across regional and global energy markets. The CoVaR analysis reveals that on the downside, shocks from Royal Dutch Shell A most largely spillover to the US energy equity sector, while Royal Dutch Shell B does it on the upside. On the downside, Chevron most largely spillovers shocks to the EU energy equity sector, while BP does it on the upside. ExxonMobil most largely spillovers downside shocks to the world energy equity sector, while Royal Dutch Shell B does it on the upside. The Copula results show an asymmetric dependence between major oil companies and the US energy equity sector. The relationship between big oil companies and the EU energy equity sector is characterised by symmetric dependence dynamics.eng
dc.description.sponsorshipNRF-2022S1A5A2A01045530
dc.identifier.doi10.1016/j.iref.2024.02.043
dc.identifier.issn1059-0560
dc.identifier.urihttp://hdl.handle.net/10400.1/28715
dc.language.isoeng
dc.peerreviewedyes
dc.publisherElsevier
dc.relationCenter for Advanced Studies in Management and Economics
dc.relation.ispartofInternational Review of Economics & Finance
dc.rights.uriN/A
dc.subjectBig oil companies
dc.subjectEnergy equity sectors
dc.subjectConditional value-at-risk
dc.subjectNetwork spillovers
dc.subjectCopulas
dc.titleInterdependence and spillovers between big oil companies and regional and global energy equity marketseng
dc.typejournal article
dspace.entity.typePublication
oaire.awardNumberUIDB/04007/2020
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT
oaire.citation.endPage469
oaire.citation.startPage451
oaire.citation.titleInternational Review of Economics & Finance
oaire.citation.volume92
oaire.fundingStream6817 - DCRRNI ID
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublication2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d
relation.isProjectOfPublication.latestForDiscovery2fa5dcac-9207-4f5b-b4be-54fcf7dcdd7d

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