Network connectedness between natural gas markets, uncertainty and stock markets

Jiang-Bo Geng, Fu-Rui Chen, Qiang Ji and Bing-Yue Liu

Energy Economics, 2021, vol. 95, issue C

Abstract: This paper explores dynamic information connectedness effects between natural gas markets, uncertainties and stock markets in the North American and European regions for high- and low-frequency bands using the time-frequency connectedness network model. The empirical results suggest that the total return and volatility spillover effects in North America and Europe are mainly generated by the high-frequency band (1–12 weeks), whereas the total spillover effect for the low-frequency band (12 weeks to longer) is relatively weak. Generally, in terms of return connectedness, the North American and European natural gas markets act as information receivers to the system. With regard to volatility connectedness, the North American gas market has an impact on energy market uncertainty and economic policy uncertainty, whereas the European gas market acts as an information receiver from economic policy uncertainty. Finally, our evidence shows that both these regional gas markets are affected to a considerable extent by financial market uncertainty in both the short and long term. These new findings suggest some useful implications for investors and policy makers with various time horizons.

Keywords: Natural gas market; Uncertainty index; Stock market; Connectedness network; Time frequency (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303418

DOI: 10.1016/j.eneco.2020.105001

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