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

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

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.

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  • Roudari, Soheil & Sadeghi, Abdorasoul & Gholami, Samad & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2023. "Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market," Resources Policy, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003999
    DOI: 10.1016/j.resourpol.2023.103688
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    More about this item

    Keywords

    Natural gas; Liquid natural gas; TPU; Stock markets; Spillovers;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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