石油和天然气价格之间的溢出效应：来自新兴市场和发达市场的证据

IF 5.5 Q1 BUSINESS, FINANCE

Green Finance Pub Date : 2019-03-03 DOI:10.3934/GF.2019.1.30

Junhao Zhong, Mengdi Wang, B. Drakeford, Tinghui Li

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引用次数: 23

摘要

在本文中，我们强调并实证分析了2001年12月至2017年6月期间新兴国家和发达国家之间石油和天然气价格的溢出效应。采用格兰杰因果检验和DY溢出指数对美国、欧洲和中国能源市场的连通性进行了研究。我们的主要发现是，石油和天然气市场具有显著的格兰杰因果关系。此外，新兴市场在收益和波动溢出系统方面对许多发达市场都发挥着重要的影响作用。不同市场之间的溢出指数具有明显的时变特征，与特定事件具有较强的相关性。这些结果在实践中具有良好的适用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Spillover effects between oil and natural gas prices: Evidence from emerging and developed markets

In this paper, we highlight and empirically analyze the spillover effect of oil and natural gas prices between emerging and developed countries over the period from December 2001 to Jun 2017. A Granger causality test and the DY spillover index are used to investigate the connectedness in energy markets of the USA, Europe, and China. Our main findings are that oil and natural gas markets have significant Granger causality. Furthermore, the emerging markets play an important influencing role on many developed markets both in returns and volatility spillover systems. The spillover index between different markets has clear time-varying characteristics and a strong correlation with specific events. These results can have good applicability in practice.

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来源期刊

Green Finance Multiple-

CiteScore

9.60

自引率

3.50%

发文量

审稿时长

6 weeks

期刊介绍： Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.