Table 4.

Net directional connectedness, by stock.

Ticker	CLc1	Stock	Conn#.	Stock	CLc1
a) Oil & gas exploration
CLR	24.96	75.04	+2.95	77.99	22.01
APA	21.35	78.65	+2.36	81.01	18.99
MRO	25.18	74.82	+1.77	76.59	23.41
TPL	28.27	71.73	+10.12	81.86	18.14
EQT	15.28	84.72	+2.89	87.61	12.39
WPX	21.32	78.68	+12.37	66.31	33.69
EOG	21.65	78.35	−1.93	76.42	23.58
OXY	20.96	79.04	−2.07	76.97	23.03
CXO	14.38	85.62	−1.00	75.78	24.22
CNX	17.65	82.35	+4.66	87.02	12.98
b) Oil & gas refining & marketing
PSX	30.36	69.64	+15.06	84.70	15.30
VLO	26.06	73.94	+9.12	83.07	16.93
HES	23.03	76.97	+0.46	77.44	22.56
MUSA	14.33	85.67	+9.46	95.13	4.87
DK	20.60	79.40	+2.98	82.38	17.62
INT	7.82	92.18	+14.72	77.46	22.54
PARR	9.21	90.79	+19.47	71.32	28.68
c) Oil & gas services & equipment
QEP	23.09	76.91	+11.44	65.47	34.53
MG	16.31	83.69	+16.56	67.14	32.86
d) Oil & gas transportation services
SLB	22.70	77.30	−2.52	74.77	25.23
BKR	12.58	87.42	−1.74	85.67	14.33
WHD	30.46	69.54	+1.94	71.49	28.51
DRQ	17.23	82.77	+1.38	84.15	15.85
AROC	27.02	72.98	+3.48	76.46	23.54
RES	25.34	74.66	+10.80	85.46	14.54
APY	26.39	73.61	+1.13	74.74	25.26
LBRT	29.97	70.03	+5.02	75.05	24.95
WTTR	26.23	73.77	+1.10	74.87	25.13
NEX	24.39	75.61	+3.54	79.16	20.84
e) Integrated oil & gas
WMB	8.32	91.68	+15.16	76.52	23.48
OKE	18.17	81.83	+15.11	66.71	33.29
ETRN	9.73	90.27	−5.01	85.27	14.73
LPG	13.57	86.43	−3.58	82.86	17.14
f) Oil & gas drilling
HP	20.78	79.22	−6.03	73.18	26.82
ICD	22.46	77.54	+12.23	89.78	10.22
g) Coal
NC	16.60	83.40	+1.00	84.39	15.61
CEIX	19.99	80.01	+1.70	81.71	18.29
CTRA	19.83	80.17	+2.16	82.34	17.66
h) Renewable energy
AMRC	3.45	96.55	−11.63	84.92	15.08
FF	4.81	95.19	−9.40	85.79	14.21

Note: ^# represents the estimate of net directional connectedness. For brevity and presentation purposes, only significant results at the 1% level that are not equal to zero are presented. Further results at varying time-frequencies and variation of methodological structure are available from the authors on request. The above analysis is conducted using the net pairwise volatility spillover can therefore be presented as: ${\mathit{NPS}}_{\mathit{ij}}\left(H\right)=\left(\frac{{\tilde{\varphi }}_{\mathit{ji}}\left(H\right)}{{\sum }_{i,m=1}^N{\tilde{\varphi }}_{i,m}\left(H\right)}-\frac{{\tilde{\varphi }}_{\mathit{ij}}\left(H\right)}{{\sum }_{j,m=1}^N{\tilde{\varphi }}_{j,m}\left(H\right)}\right)x100=\left(\frac{{\tilde{\varphi }}_{\mathit{ji}}\left(H\right)-{\tilde{\varphi }}_{\mathit{ij}}\left(H\right)}{N}\right)x100$. The net pairwise volatility spillovers between markets i and j is therefore calculated using Eq. (15), defined simply as the difference between the gross volatility shocks transmitted from variable i to j while considering the shocks transmitted from j to i.