Spillover effects between oil and natural gas prices: evidence from emerging and developed markets

Junhao Zhong, Mengdi Wang, Ben Drakeford, Tinghui Li

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Abstract

In this paper, we highlight and empirically analyze spillover effect of oil and natural gas prices between emerging and developed over the period from December 2001 to Jun 2017. A Granger causality test and DY spillover index is used to investigate the connectedness in energy markets of USA, Europe and China. Our main findings are that oil and natural gas markets have significant Granger causality. Furthermore, the emerging markets play an important role for many developed markets both in returns and volatility spillover systems. The spillover index between different markets have clear time-varying characteristics and has a strongly correlation with specific events. These results can have good applicability in practice.
Original languageEnglish
Pages (from-to)30-45
JournalGreen Finance
Volume1
Issue number1
Publication statusPublished - 15 Mar 2019

Keywords

  • Spillover effect
  • DY index
  • Granger causality test
  • oil
  • Natural gas
  • Emerging countries
  • Developed countries

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