Connectedness of energy markets around the world during the COVID-19 pandemic
研究了石油出口国和进口国能源股指之间的关联性，发现危机时期（如疫情、不确定性高时）各国关联性显著增强，导致分散化收益大幅下降。
This paper studies the connectedness among energy equity indices of oil-exporting and oil-importing countries around the world. For each country, we construct time-varying measures of how much shocks this country transmits to other countries and how much shocks this country receives from other countries. We analyze the network of countries and find that, on average, oil-exporting countries are mainly transmitting shocks, and oil-importing countries are mainly receiving shocks. Furthermore, we use panel data regressions to evaluate whether the connectedness among countries is influenced by economic sentiment, uncertainty, and the global COVID-19 pandemic. We find that the connectedness among countries increases significantly in periods of uncertainty, low economic sentiment, and COVID-19 problems. This implies that diversification benefits across countries are severely reduced exactly during crises, that is, during the times when diversification benefits are most important.