ABSTRACT
In this paper, five volatility indexes are used as the proxy to examine the risk contagion among major stock markets. Both static and dynamic connectedness methods are employed. First, the overall connectedness can help monitor the dynamic systemic risk. Sharpe increases in total spillover correspond to actual risk events, e.g., the outbreak of COVID-19. Second, Hong Kong bridges the domestic and international stock markets, and forms a protective barrier for the mainland market to some extend. Third, developed economies mainly act as the net risk transmitters in the network. Fourth, Europe shows greater power in risk contagion after the pandemic.
ABSTRACT
The fluctuation of energy prices has a great impact on the economy, making it essential to analyze the risk transmission among energy commodities. In this paper, we use the minimum spanning tree (MST) approach and connectedness method to study the risk transmission among energy futures in China. Eleven commodities, including two globally traded crude oil, are considered. Four major results are obtained. First, MST analysis provides evidence of industry clustering. Second, the risk transmission is generally from the petrochemical sector to the coal sector;while the risk transmission in each sector mainly spills from upstream to the downstream products. Third, “methanol - polyethylene” bridges the coal sector and petrochemical sector, through which the link between the two sectors has been strengthened since the outbreak of COVID-19. Fourth, the systemic risk of the energy market has increased, and several commodities have experienced a role reversal in the network since the pandemic began, especially in the petrochemical sector.