Mapping Market Power: A Data-Driven and Diagrammatic Exploration of Dynamic Spillovers and Connectedness Across Global Energy, Commodity, and Stock Markets

In today’s increasingly interconnected global economy, financial markets no longer operate in isolation. Rather, they function as part of a tightly linked system where shocks in one sector can spread with varying intensity to others. This study provides a comprehensive data-driven and diagrammatic analysis of the energy, commodity, and stock market interactions. Using weekly data from August 2014 to July 2024, the study captures a decade shaped by major global disruptions, including the oil price crash, the COVID-19 pandemic and geopolitical tensions. These events serve as natural experiments, offering valuable insights into how markets evolve, especially during periods of uncertainty. Applying the Diebold-Yılmaz Connectedness Framework alongside the Time-Varying Parameter VAR (TVP-VAR) model, the study uncovers patterns of volatility transmission and market interdependence that are important for policy and investment decisions