Classifying distinct human emotions, the fundamental purpose of brain-computer interface research, is essential for providing instant personalized services and assistance to individuals. With such emerging applications for individuals, several techniques have been proposed recently to explore interactions between brain regions, such as correlation, synchronization, and dependence. Notably, functional and effective connectivity methods are applied to assess the relationships between different brain areas. The primary objective of this study is to compare the frequently used functional and effective connectivity methods to recognize emotion using Electroencephalogram (EEG) signals. This paper uses a benchmark emotional EEG dataset consisting of 32 channels of EEG signals collected from 32 subjects while they were watching 40 inspirational music videos. Specifically, correlation, phase synchronization, and mutual information are used to measure functional brain connectivity, and transfer entropy is used to acquire effective brain connectivity. After extracting the features, they are represented in a two-dimensional connectivity feature map (CFM). The CFMs are then used to classify emotions by a convolutional neural network model. The results of classified emotions are analyzed regarding compatible EEG bands, accuracy, and time. Notably, the Gamma band is found as the most compatible band. The comparative study has demonstrated that though the connectivity method named Pearson correlation coefficient requires less time, the normalized mutual information is the most accurate method with advantageous detecting capability of nonlinear dependencies.