| With the development of globalization,it has become increasingly obvious that volatility spillover effects between different energy markets can exist due to market interactions or other external impacts.The so-called volatility spillover effects here can be also interpreted as networked phenomena,namely volatility spillover network effects.However,these phenomena can deteriorate further and even become financial or economic crises without effective management.It is known that many existing studies focus on pairwise volatility spillovers between two energy markets.Nevertheless,the investigations of volatility spillovers in energy markets from the perspective of network concepts could be seldomly found.On the other hand,we can observe that the international economic environment is complexed,variable and integrated,which makes it difficult to accurately analyze the interactions among different markets from a single trend.As a result,this thesis aims to measure the networked volatility spillovers between energy markets,analyze their situational evolution and further provide node management strategies on the aspects of whole trends,extreme trends and dynamic trends.Based on the comprehensive analysis of the networked volatility spillovers,the interactions among diverse energy markets can be clearer to see.It is also helpful for decision makers to identify and measure different market risks.Therefore,how the spillover risks are spread is analyzed based on the volatility spillover network effects and their dynamic evolutions.It should be emphasized that this study not only identifies or measures volatility spillovers but clarify their networked and dynamic evolutions.Through the comprehensive investigation of volatility spillover effects in energy markets,we can help decision makers identify spillover risks,get prepared to cope with the risks and effectively manage them.To achieve the above goals,the thesis focuses on the volatility spillovers in 9crucial international energy markets from the perspectives of the whole trend,extreme trend and dynamic trend.The research details can be seen as follows:In the whole trend analysis,this study constructs volatility spillover networks based on identifying and measuring the volatility spillovers in different energy markets.By comparing volatility spillover effects in different energy markets,we are capable to know their relations and find the key markets.Note that the above processes are mainly related to the comparison among different energy markets' volatility spillovers and risk spread.Then,this study further compares the evolutionary trends of the networked spillovers based on the constructed networks.To do so,long-term interactions among energy markets could be revealed.The research findings are essential for policymakers and decision makers to clarify the long-term evolutionary trend which also assists them with spillover-related risk management.From the whole trend,this study first identifies and measure network effects of volatility spillovers in energy markets from 2010 to 2019.After that,volatility spillover networks are constructed and divided into 3 stages.Based on the spillover networks,the centrality of each energy market is calculated to find the influential one.Then the evolutionary analysis of spillover networks in the whole trend is given.Besides,after investigating the cohesion,transitivity and evolutionary process of the spillover networks in the given 3 stages,it is found that the network evolution presents a homogeneous trend with the transformation from multiple cliques to a single clique.It is also found that the interactions among the energy markets have tended to be more obvious in the recent 3 years.Also,policymakers should pay more attention to the oil,wind and water energy markets to effectively cope with systemic risks.More importantly,this study explores the transformation from multiple cliques to a single clique,reflecting the homogenous evolutionary trend of the energy market networks in the recent decade.This trend also suggests closer relations among the significant energy markets.In the energy network,the crucial markets could be possibly spread spillover risks immediately,causing significant impacts on the whole network or system.Even though they can happen at a low probability,the extreme volatility spillover effects in energy markets can be developed into severe systemic financial risks.Therefore,we reveal the tail correlations of energy markets based on identifying and measuring significant ones when being impacted by extreme volatility spillovers.In consideration of the public emergency namely the COVID-19 that has broken out at the end of 2019,the thesis also focuses on energy markets' extreme volatility spillovers caused by this issue between 2019 and 2020.Note that we mainly investigate the lower tail extreme volatility spillovers in energy markets because many industries have been shocked by this extreme issue.Based on our findings,the extreme volatility spillovers in renewable energy markets are stronger than those in the non-renewable energy markets,especially in market booms.This phenomenon also indicates the asymmetry feature of extreme volatility spillovers in energy markets.In the extreme volatility spillover networks,the water energy market presents its significant influences.In this shock,many countries have taken measures to stabilize the energy market,lest more financial losses brought by the extreme volatility spilloversThe world keeps changing,especially in the trend of globalization.With the change and development of different markets,countries and economic entities,some interactions could happen among the related individuals.This phenomenon is specifically reflected as the dynamic volatility spillover effect.Therefore,from the perspective of the dynamic trend,this study first identifies and measures the dynamic volatility spillover effects of 9 energy markets by using a time-varying copula.The calculated time-varying coefficients are utilized to construct time-varying volatility spillover networks.After that,some inflection points are identified based on manual identification and the Mann-Kendall test.The results using these two approaches are analyzed and compared that could be further used to investigate the10-year evolutionary trend of volatility spillovers based on network analysis.It is found that the dynamic volatility spillover effects in non-renewable energy markets are relatively weak.The oil,coal and gas energy markets are not easily affected by the price volatility in other energy markets.On the contrary,the dynamic volatility spillover effects in renewable energy markets such as the water and the solar energy markets are much stronger than that of non-renewable energy markets.Thus,the risks brought by the dynamic volatility spillovers could spread among renewable energy markets.Besides,the water energy market is influential in the recent 10 years,while the coal and gas energy markets are relatively not easily be impacted by other markets' volatilities.The stronger volatility spillover effects among renewable energy markets indicate close relations among the corresponding markets.However,it also reflects that these energy markets could be strongly shocked by systemic financial risks.As a result,some interesting empirical findings can be obtained based on the above-mentioned volatility spillover measures and situational evolutionary analyses.Furthermore,some node management strategies and suggestions in terms of governments,enterprises and individuals are provided accordingly.For instance,governments should conduct effective mechanisms from the perspective of macro controls.To flexibly control volatility spillovers and network effects in crucial energy markets and different trends can be of great help for governments to prevent the market from being impacted by systemic risks or even financial crises.Additionally,encouraging technological innovations is also an effective way to improve energy efficiency.As for energy enterprises,it is necessary to pay attention to the supply-demand relationship in energy markets then adjust energy production and prices in time.The effective management of energy production,storage and transportation costs are also of great significance.In terms of investors,they should flexibly formulate investment strategies according to dynamic market changes under different trends.Moreover,focusing on the energy markets in different cliques of the network could be helpful to diversify risks as well.In sum,the research of this thesis is supported by accurate data,empirical investigation and reliable results.The systemic investigations of volatility spillover effects in energy markets from the three important perspectives could be useful references for policymakers,enterprise managers and investors to cope with risks brought by volatility spillover effects.They can be also considered as the theoretical and practical contributions of this study. |
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