ABSTRACT Natural gas plays an increasingly important role in the energy landscape, and its price experiences significant volatility and is easily affected by oil due to its substitutability. Therefore, this study investigates the emergence of natural gas bubbles in terms of the relationship between oil prices and natural gas prices (ROPGP) during the sample period from January 1997 to January 2023. Using a theoretical framework covering oil and gas prices that examines price volatility and structural dependencies, this analysis combines subsample rolling window causality tests, Generalized Supremum Augmented Dickey-Fuller (GSADF) bubble detection methods, and logistic regression models. The empirical results indicate that due to Europe’s diversified energy policies, the ROPGP has an adverse effect on the emergence of natural gas price bubbles in Europe. In Japan, however, the ROPGP positively influences natural gas bubbles due to the scarcity of indigenous energy resources and the reliance on natural gas contracts linked to imported oil. Conversely, in the US, the ROPGP does not significantly impact natural gas price bubbles, which is attributed to the country’s self-sufficiency in natural gas production. These findings highlight the differing impacts of the ROPGP on natural gas markets in various regions, shaped by their unique energy structures, policies, and geopolitical factors.
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