Abstract
This paper analyzes the returns and volatility connectedness between oil prices and Eurozone sector returns during the global financial crisis. We employ the TVP-VAR frequency connectedness approach with daily data of Brent prices and 18 Eurozone supersector indices from 15 November 2014 to 24 November 2023. Our results show a high average connectedness of the returns and volatilities. Industrial Goods are the largest transmitter contrariwise Media supersector is the largest receiver of shocks on returns. The same finding is for volatility, the result shows that Industrial Goods and Services transmit the highest risk in contrast, the Media has the highest receiver volatility indices. The time-varying connectedness (TCI) of returns and volatilities in both show a drastic increase in March 2020. This increase is a result of COVID-19. Whereas, there has been no rise in connectivity following Russia’s invasion of Ukraine. Our result highlighted that Brent was a net receiver of volatility shocks during the Russian invasion of Ukraine.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
