Energy markets – Who are the influencers?

The energy markets have recently undergone important transformations (e.g. deregulation, technological progress, renewable deployment and changing consumer behaviour) witnessed a variety of crisis periods, affecting the relationships among commodities their interactions with clean indices. This has implications for price discovery, asset allocation risk management, which requires in-depth analysis to uncover identify indices (or forms energy) lead others or are most influential, while accounting asymmetry non-linearity characteristics. To complex structure relationship across returns seven different two stock indices, we apply Granger causality transfer entropy in both static dynamic approaches. results from influence other products on natural gas, whereas reveals importance WTI oil Diesel is influenced commodity. A rolling windows confirms those findings shows evidence time-variation that reflects impacts especially pandemic, dynamics relationships. • Seven prices analysed. Both employed. Results show crises periods.