Contemporaneous and lagged 𝑅2 decomposed connectedness approach: New evidence from the energy futures market

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dc.citation.volume57
dc.contributor.authorBalli F
dc.contributor.authorBalli HO
dc.contributor.authorDang THN
dc.contributor.authorGabauer D
dc.date.accessioned2024-05-29T23:40:12Z
dc.date.available2024-05-29T23:40:12Z
dc.date.issued2023-11
dc.description.abstractIn this study, we investigate the return propagation mechanism across six energy futures, namely, Crude Oil, Heating Oil, Gasoline, Natural Gas, Kerosene, and Propane ranging from November 21st, 2014 until April 6th, 2023 by using a novel R2 decomposed connectedness approach. This framework allows to efficiently decompose connectedness measures into contemporaneous and lagged components. We find that the dynamic total connectedness is heterogeneous over time and economic-event dependent. Furthermore, the empirical results highlight that the contemporaneous effects are more pronounced on average while a significant amount of lagged spillovers occur in the case of Kerosene and Propane. We find that Heating Oil is the main net transmitter of shocks followed by Gasoline and Crude Oil while the main net receiver of shocks is Kerosene followed by Propane and Natural Gas. Finally, robust R2 connectedness measures are provided.
dc.description.confidentialfalse
dc.edition.editionNovember 2023
dc.identifier.citationBalli F, Balli HO, Dang THN, Gabauer D. (2023). Contemporaneous and lagged R<sup>2</sup> decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters. 57.
dc.identifier.doi10.1016/j.frl.2023.104168
dc.identifier.eissn1544-6131
dc.identifier.elements-typejournal-article
dc.identifier.issn1544-6123
dc.identifier.number104168
dc.identifier.piiS1544612323005408
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69702
dc.languageEnglish
dc.publisherElsevier Inc
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S1544612323005408
dc.relation.isPartOfFinance Research Letters
dc.rights(c) The author/sen
dc.rights.licenseCC BY-NC-NDen
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectEnergy futures
dc.subjectDynamic connectedness
dc.subjectContemporaneous connectedness
dc.subjectLagged connectedness
dc.titleContemporaneous and lagged 𝑅2 decomposed connectedness approach: New evidence from the energy futures market
dc.typeJournal article
pubs.elements-id479272
pubs.organisational-groupOther
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