Interconnected Markets: How Energy, Green Finance, and APEC Equities Drive Global Volatility
Year: 2025
Type: article
Abstract: This study explores the evolving interconnectedness among energy markets (Crude Oil, Natural Gas, Heating Oil, GRNSOLAR, GRNWIND, and GRNBIO), gold, technology (NDXT), green bonds, and equity markets within APEC economies (S&P 500, TSX, NIKKEI 225, ASX 200, NZX 50, SSEC, SETI, MOEX, KOSPI, and TWII) from January 2014 to May 2024. Using a time-varying parameter vector autoregressive (TVP-VAR) model, the research unveils dynamic cross-market relationships, with a Total Averaged Connectedness Index (TACI) of 60.68%. This indicates that nearly 60% of forecast error variance originates from cross-market shock transmission, underscoring the high degree of global financial interdependence. Notably, the energy and emerging equity markets demonstrate a connectedness of 45% in the short term (1–5 trading days) as investors swiftly react to economic signals and external shocks. However, this interconnectedness diminishes to 15.48% in the long term, reflecting market resilience as initial impacts dissipate. These findings emphasize the significance of volatility transmission in shaping market dynamics and provide valuable guidance for investors and policymakers in navigating risks within an increasingly interconnected global financial landscape.
DOI: 10.14419/j89zk395
Authors: Pankaj Kumar, Dr. Rupinder Katoch
Institution: Lovely Professional University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4412494372