Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market

Soheil Roudari, Abdorasoul Sadeghi, Samad Gholami, Walid Mensi and Khamis Hamed Al-Yahyaee

Resources Policy, 2023, vol. 83, issue C

Abstract: Given Qatar's economic structure and geographical features, we examine the likely spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and stock markets using the spillover index developed by Diebold and Yilmaz (2012). The results show considerable spillover among the aforementioned variables. Natural gas and LNG are the net receivers of spillovers, whereas TPU and the stock market are net spillover transmitters. TPU had the lowest sensitivity in the network system, whereas natural gas and LNG had the highest sensitivities. Moreover, the measure of spillovers varies over time and jumps during financial and COVID-19 crises. TPU and the stock market were the strongest driving forces of spillover. In addition, while the stock market has the highest transmission of natural gas and LNG, consistent with the energy-oriented structure of corporations in Qatar's stock market, it showed the highest sensitivity to LNG and natural gas. Both forms of energies—natural gas and LNG—indicate noticeable sensitivity to the stock market and TPU, respectively. Moreover, TPU is more sensitive to natural gas and LNG shocks. These results have significant implications for investors, policymakers, and governments.

Keywords: Natural gas; Liquid natural gas; TPU; Stock markets; Spillovers (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003999

DOI: 10.1016/j.resourpol.2023.103688

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