European equity markets volatility spillover: Destabilizing energy risk is the new normal
研究了24个欧洲经济区国家股票市场对石油和天然气价格变化的反应，发现能源风险在2019年后成为波动溢出的主要来源，尤其对中东欧国家影响更大。
Abstract While energy risk is increasingly recognized as a systemic risk, there is limited comprehensive analysis of the risk propagation in regional contexts. In this study, we examine oil and natural gas price changes and shocks in relation to equity market returns and volatility for 24 European Economic Area (EEA) countries. In addition to traditional panel regressions, we also deploy the Diebold‐Yilmaz (2014) spillover index for a closed network analysis. We differentiate in the cross‐section across the core EU block, PIIGS countries, EU enlargement countries joining after 2004, and other non‐EU countries, to provide insights into the ongoing debates on the European energy market stability. While we find evidence of the manifestation of energy risk throughout the sample period, we find that until 2019 the primary sources of volatility spillover in the EEA economic network arose from economic or political uncertainty. Energy risks, measured by large crude oil and natural gas price shocks also significantly contributed to equity market volatility, with increasing volatility risk arising from natural gas, a green labelled energy source after 2019. Last, we show that CEEC equity markets are more sensitive to oil and natural gas price shocks when domestic currencies depreciate against the Euro.