In this study, we investigate the return propagation mechanism across six energy futures, namely, Crude Oil, Heating Oil, Gasoline, Natural Gas, Kerosene, and Propane ranging from November 21st, 2014 until April 6th, 2023 by using a novel R2 decomposed connectedness approach. This framework...

The paper aims to explore the presence of connectedness between crude oil and equity indices of the oil and gas sector by employing the dataset of 22 OECD nations from 1999 to 2020. The analysis, adopting the connectedness approach developed by Diebold and Yilmaz (2012) and the frequency...