Energy RESEARCH LETTERS,
Journal Year:
2024,
Volume and Issue:
5(Early View)
Published: Jan. 13, 2024
We
pursue
two
noteworthy
effects
of
the
Russia-Ukraine
war
on
commodity
market
volatility.
First,
we
construct
a
index
while
modelling
Second,
explore
relationship
between
and
volatility
using
various
estimators.
find
consistent
patterns
in
models
selected
Our
results
show
that
triggered
Journal of commodity markets,
Journal Year:
2024,
Volume and Issue:
34, P. 100404 - 100404
Published: April 21, 2024
This
study
explores
the
connectedness
between
major
oil-producing
and
consuming
countries'
stock
markets
(United
States,
China,
Russia,
India)
different
oil
shocks
categorized
as
demand,
supply,
risk
shocks,
following
Ready's
(2018)
framework.
Employing
a
quantile-based
approach
quantile
cross-spectral
dependence,
our
analysis
spans
from
July
02,
2007
to
May
31,
2023,
encompassing
diverse
market
conditions
events.
These
methodologies
help
identify
interdependence
patterns
in
extreme
scenarios
at
time
intervals.
Key
findings
show
variations
how
these
respond
depending
on
quantiles.
Demand-related
have
most
significant
spillover
effects
United
India,
while
risk-related
dominate
transmitters
of
India
median
Market
interconnectedness
strengthens
during
conditions,
reflecting
historical
Additionally,
bearish
offer
diversification
opportunities
countries
crude
oil.
emphasizes
need
for
tailored
investment
strategies,
monitoring
global
demand
trends,
dynamic
portfolio
management,
inclusion
portfolios,
proactive
responses
players
geopolitical
insights
benefit
investors
policymakers
seeking
optimize
strategies
interconnected
financial
landscape.