Abstract
In this study, we examine the return and volatility information spillover effects of the natural gas market on US sectoral stock markets. A time-frequency connectedness approach is applied to specifically capture the time-varying characteristics of the links between natural gas and stock markets in different frequency domains. We find that return and volatility information spillover between the natural gas market and all US sectoral stock markets is mainly generated in the short term and that the influence of the natural gas market on different sectoral stock markets has heterogeneous and time-varying characteristics. In the return system, the natural gas market is mainly a net information receiver at both short and long time scales. However, in the volatility system, the information spillover effect of the natural gas market on most other sectoral stock markets is significant at a short time scale. These new findings can offer decision support for natural gas policy makers and market participants.
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