IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v75y2018icp71-84.html

Information spillovers and connectedness networks in the oil and gas markets

Author

Listed:
  • Ji, Qiang
  • Geng, Jiang-Bo
  • Tiwari, Aviral Kumar

Abstract

This paper investigates the oil–gas relationship from a multi-scale perspective by combining the connectedness network framework and the ensemble empirical mode decomposition (EEMD) method. The empirical results show that the direction and magnitude of the information flow between oil and gas returns behave differently across time scales. In general, WTI and its refinery products tend to act as net information transmitters, while the United States and United Kingdom natural gas markets act as net receivers. The total spillover connectedness for the oil and gas markets, as measured by a rolling-window approach, has dynamic, volatile characteristics. The robustness of the results is shown by substituting Brent for WTI.

Suggested Citation

  • Ji, Qiang & Geng, Jiang-Bo & Tiwari, Aviral Kumar, 2018. "Information spillovers and connectedness networks in the oil and gas markets," Energy Economics, Elsevier, vol. 75(C), pages 71-84.
    • Handle: RePEc:eee:eneeco:v:75:y:2018:i:c:p:71-84
    DOI: 10.1016/j.eneco.2018.08.013
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988318303116
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2018.08.013?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Shi, Xunpeng & Variam, Hari M.P., 2017. "East Asia’s gas-market failure and distinctive economics—A case study of low oil prices," Applied Energy, Elsevier, vol. 195(C), pages 800-809.
    2. Renou-Maissant, Patricia, 1999. "Interfuel competition in the industrial sector of seven OECD countries," Energy Policy, Elsevier, vol. 27(2), pages 99-110, February.
    3. Ji, Qiang & Geng, Jiang-Bo & Fan, Ying, 2014. "Separated influence of crude oil prices on regional natural gas import prices," Energy Policy, Elsevier, vol. 70(C), pages 96-105.
    4. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
    5. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    6. repec:aen:journl:2008v29-03-a03 is not listed on IDEAS
    7. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    8. Zhang, Xun & Lai, K.K. & Wang, Shou-Yang, 2008. "A new approach for crude oil price analysis based on Empirical Mode Decomposition," Energy Economics, Elsevier, vol. 30(3), pages 905-918, May.
    9. Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015. "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, vol. 51(C), pages 300-311.
    10. Patricia Renou-Maissant, 1999. "Interfuel Competition in the Industrial Sector of Seven OECD Countries," Post-Print hal-02562575, HAL.
    11. repec:aen:journl:2008v29-02-a03 is not listed on IDEAS
    12. repec:aen:journl:33-2-02 is not listed on IDEAS
    13. Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, vol. 42(C), pages 325-331.
    14. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The impact of the North American shale gas revolution on regional natural gas markets: Evidence from the regime-switching model," Energy Policy, Elsevier, vol. 96(C), pages 167-178.
    15. Serletis, Apostolos & Timilsina, Govinda & Vasetsky, Olexandr, 2011. "International evidence on aggregate short-run and long-run interfuel substitution," Energy Economics, Elsevier, vol. 33(2), pages 209-216, March.
    16. Nick, Sebastian & Thoenes, Stefan, 2014. "What drives natural gas prices? — A structural VAR approach," Energy Economics, Elsevier, vol. 45(C), pages 517-527.
    17. Zhang, Dayong, 2017. "Oil shocks and stock markets revisited: Measuring connectedness from a global perspective," Energy Economics, Elsevier, vol. 62(C), pages 323-333.
    18. repec:aen:journl:2006v27-02-a02 is not listed on IDEAS
    19. Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, vol. 29(2), pages 329-347, March.
    20. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    21. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
    22. Karali, Berna & Ramirez, Octavio A., 2014. "Macro determinants of volatility and volatility spillover in energy markets," Energy Economics, Elsevier, vol. 46(C), pages 413-421.
    23. Jadidzadeh, Ali & Serletis, Apostolos, 2017. "How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?," Energy Economics, Elsevier, vol. 63(C), pages 66-74.
    24. He, Kaijian & Liu, Youjin & Yu, Lean & Lai, Kin Keung, 2016. "Multiscale dependence analysis and portfolio risk modeling for precious metal markets," Resources Policy, Elsevier, vol. 50(C), pages 224-233.
    25. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The behaviour mechanism analysis of regional natural gas prices: A multi-scale perspective," Energy, Elsevier, vol. 101(C), pages 266-277.
    26. Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.
    27. Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
    28. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
    2. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    3. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 73(C).
    4. Wei, Zhaohao & Chai, Jian & Dong, Jichang & Lu, Quanying, 2022. "Understanding the linkage-dependence structure between oil and gas markets: A new perspective," Energy, Elsevier, vol. 257(C).
    5. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
    6. Li, Xiuming & Sun, Mei & Gao, Cuixia & He, Huizi, 2019. "The spillover effects between natural gas and crude oil markets: The correlation network analysis based on multi-scale approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 306-324.
    7. Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.
    8. Palma, Alessia & Paltrinieri, Andrea & Goodell, John W. & Oriani, Marco Ercole, 2024. "The black box of natural gas market: Past, present, and future," International Review of Financial Analysis, Elsevier, vol. 94(C).
    9. Wang, Tiantian & Qu, Wan & Zhang, Dayong & Ji, Qiang & Wu, Fei, 2022. "Time-varying determinants of China's liquefied natural gas import price: A dynamic model averaging approach," Energy, Elsevier, vol. 259(C).
    10. Ji, Qiang & Zhang, Hai-Ying & Geng, Jiang-Bo, 2018. "What drives natural gas prices in the United States? – A directed acyclic graph approach," Energy Economics, Elsevier, vol. 69(C), pages 79-88.
    11. Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019. "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, vol. 80(C), pages 707-719.
    12. Zhang, Dayong & Ji, Qiang & Kutan, Ali M., 2019. "Dynamic transmission mechanisms in global crude oil prices: Estimation and implications," Energy, Elsevier, vol. 175(C), pages 1181-1193.
    13. Zhang, Yaojie & Tian, Linxing & Zhang, Zhikai, 2025. "Petroleum volatility spillover index and stock return predictability," Energy Economics, Elsevier, vol. 150(C).
    14. Feng, Huiqun & Zhang, Jun & Guo, Na, 2023. "Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors," International Review of Financial Analysis, Elsevier, vol. 89(C).
    15. Li, Yanfei & Ji, Qiang & Zhang, Dayong, 2020. "Technological catching up and innovation policies in China: What is behind this largely successful story?," Technological Forecasting and Social Change, Elsevier, vol. 153(C).
    16. Halser, Christoph & Paraschiv, Florentina & Russo, Marianna, 2023. "Oil–gas price relationships on three continents: Disruptions and equilibria," Journal of Commodity Markets, Elsevier, vol. 31(C).
    17. Wang, Tiantian & Wu, Fei & Zhang, Dayong, 2025. "Evolution of the oil and gas price-linkage with multiple uncertainties," Energy Economics, Elsevier, vol. 151(C).
    18. Wu, Fei, 2020. "Stock market integration in East and Southeast Asia: The role of global factors," International Review of Financial Analysis, Elsevier, vol. 67(C).
    19. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2025. "Dynamic volatility spillovers among commodities, bitcoin, and emerging markets," Emerging Markets Review, Elsevier, vol. 69(C).
    20. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:75:y:2018:i:c:p:71-84. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.