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Static and dynamic interdependencies among natural gas, stocks of global major economies and uncertainty

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  • Niu, Hongli
  • Hu, Wenwen

Abstract

This research investigates the interdependence effects of returns among natural gas, stock markets of major global economies, and uncertainties, including global economic policy uncertainty and climate policy uncertainty. By utilizing static and dynamic network connectedness methods proposed by Diebold and Yilmaz (2009, 2012, 2014)and Antonakakis et al. (2020), this study uncovers the following key findings: Firstly, the Chinese stock market is a risk receiver, while the stock markets of major global economies play a crucial role in transmitting risks through the system, with European and American markets showing stronger spillovers. Secondly, there exists substantial dynamic and time-varying connectedness among natural gas futures, uncertainty factors, and stock markets, with significant surges during global crises. COVID-19 has markedly amplified both total connectedness and net directional or pairwise spillover, exacerbating the contagion effects of risk. Thirdly, natural gas and uncertainties are spillover receivers, and the natural gas market has received less risk spillover during COVID-19. This research offers insights for risk management and portfolio diversification strategies.

Suggested Citation

  • Niu, Hongli & Hu, Wenwen, 2024. "Static and dynamic interdependencies among natural gas, stocks of global major economies and uncertainty," Resources Policy, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:jrpoli:v:94:y:2024:i:c:s0301420724004689
    DOI: 10.1016/j.resourpol.2024.105101
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