Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?

With the rapid spread of coronavirus, the global financial markets have been undergoing tremendous changes, which bring investors more risks in the short term. Against such background, this study concentrates on the far-reaching energy commodities, aiming to explore the impact of COVID-19 on cross-market linkages. To capture the dynamic nature of interdependence, we applied the TVP-VAR based connectedness index method and individually focused on the total, net, and pairwise connectedness. The empirical results show that there is a dramatic rise in the total connectedness in energy markets following the outbreak of COVID-19, but this change only lasted about two months and then fell back to the prior level. Further analyzing the net spillover conditions, we find that the connectedness structure has also displayed some temporary changes. At last, the spillover networks indicate that there are only three pairwise connectedness relations have changed in direction before and after the outbreak of COVID-19. We also try to discuss the underlying COVID-19 shock propagation mechanism, and the results suggest the significant mediation effect of the financial panic risk. In general, our study offers several urgent and prominent implications to understand the financial impact of COVID-19.