Good vs bad returns spillover in regional energy markets

Abstract

In this paper, we examine the presence of spillover among the regional energy markets in Asia, Europe, North America, Pacific region, and South America from January 2, 1995 to May 27, 2021. We report heterogeneous results for spillover between the regional energy markets. Our work separately highlights the presence of negative and positive returns spillover across sampled energy markets. We also report a significant increase in spillover during different crisis periods, supporting the contagion phenomena. Finally, we also report the asymmetry in short- and long-run spillover and negative and positive returns during normal and crisis periods. Our results carry implications for investments in the regional energy markets under different market conditions and investment periods.