Research article

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

  • Received: 03 February 2019 Accepted: 03 March 2019 Published: 15 March 2019
  • JEL Codes: E02, O13, Q43

  • In this paper, we highlight and empirically analyze the spillover effect of oil and natural gas prices between emerging and developed countries over the period from December 2001 to Jun 2017. A Granger causality test and the DY spillover index are used to investigate the connectedness in energy markets of the 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 influencing role on many developed markets both in returns and volatility spillover systems. The spillover index between different markets has clear time-varying characteristics and a strong correlation with specific events. These results can have good applicability in practice.

    Citation: Junhao Zhong, Mengdi Wang, Benjamin M Drakeford, Tinghui Li. Spillover effects between oil and natural gas prices: Evidence from emerging and developed markets[J]. Green Finance, 2019, 1(1): 30-45. doi: 10.3934/GF.2019.1.30

    Related Papers:

  • In this paper, we highlight and empirically analyze the spillover effect of oil and natural gas prices between emerging and developed countries over the period from December 2001 to Jun 2017. A Granger causality test and the DY spillover index are used to investigate the connectedness in energy markets of the 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 influencing role on many developed markets both in returns and volatility spillover systems. The spillover index between different markets has clear time-varying characteristics and a strong correlation with specific events. These results can have good applicability in practice.


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  • © 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
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