Table 6.

Average directional spillover, by sector.

Sector	Chinese COVID	WHO COVID	Negative WTI
a) Oil & gas exploration	−1.76	−2.10	+4.83
b) Oil & gas refining & marketing	−2.19	−1.83	+3.91
c) Oil & gas services & equipment	−0.59	−0.14	+1.75
d) Oil & gas transportation services	−0.72	−0.18	+1.30
e) Integrated oil & gas	+1.48	+1.26	−0.25
f) Oil & gas drilling	−1.63	−1.49	+5.71
g) Coal	−0.95	−0.40	−4.96
h) Renewable energy	−0.38	−0.17	−9.96

Note: The above table represents the average directional connectedness by stated energy sector. To examine spillovers in the volatility of WTI during the outbreak of the COVID-19 pandemic and the subsequent effects of negative oil prices, and the effects of each event on energy-companies in the US, we apply the generalised version of the spillover index proposed by Diebold and Yilmaz (2009), and which builds on the vector autoregressive (VAR) models developed by Sims (1980). 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.