Information transmission between energy commodities and emerging Asian stock markets during crises: an analysis of oil importing countries

Abstract

PurposeThis study examines the information transmission (return and volatility spillovers) among energy commodities (crude oil, natural gas, Brent oil, heating oil, gasoil, gasoline) and Asian stock markets which are net importers of energy (China, India, Indonesia, Malaysia, Korea, Pakistan, Philippines, Taiwan, Thailand).Design/methodology/approachThe information transmission is investigated by employing the spillover index of Diebold and Yilmaz, using daily data for the period January 2000 to May 2021.FindingsA Strong connectedness is documented between the two classes of asset, especially during crisis periods. Our findings reveal that most of the energy markets, except gasoil and natural gas, are net transmitters of information, whereas all the stock markets, excluding Indonesia and Korea, are net recipients.Practical implicationsThe findings are helpful for portfolio managers and institutional investors allocating funds to various asset classes in times of crisis.Originality/valueAll data is original.