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Dynamic spillovers between natural gas and BRICS stock markets during health and political crises

Author

Listed:
  • Mellouli Dhoha

    (High Business School of Sfax)

  • Wael Dammak

    (University of Lyon, University Claude Bernard Lyon 1, Institute of Financial and Insurance Sciences, LSAF-EA2429)

  • Hind Alnafisah

    (Princess Nourah Bint Abdulrahman University)

  • Ahmed Jeribi

    (University of Monastir)

Abstract

Previous research has primarily focused on external factors to refine predictions of natural gas volatility, a prominent cleaner fossil fuel. Yet, there's a gap in the literature regarding the intrinsic factors impacting the volatility of natural gas returns, especially during crises. Using the TVP-VAR frequency connectedness method, we uncover a pronounced dynamic integration and return transmission between natural gas and BRICS stock markets. Our findings emphasize a strong interconnectedness in both the lower and upper extremes of the return distribution, indicating the profound effects of both negative and positive extreme shocks. We also document symmetric spillover effects in tumultuous market conditions. Short-term spillovers are critical in transmitting shocks, while long-term ones define interconnectedness patterns. Notably, we identify assets that are net-receivers and net-transmitters, with natural gas consistently being a net receiver. Our results provide valuable insights for investors and portfolio managers, emphasizing the need for stringent risk management during crises like COVID-19 and the Russia–Ukraine conflict due to the presence of non-diversifiable systematic risks.

Suggested Citation

  • Mellouli Dhoha & Wael Dammak & Hind Alnafisah & Ahmed Jeribi, 2024. "Dynamic spillovers between natural gas and BRICS stock markets during health and political crises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 453-485, June.
    • Handle: RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-023-00254-8
    DOI: 10.1007/s40822-023-00254-8
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    1. Dammak, Wael & Frikha, Wajdi & Souissi, Mohamed Naceur, 2024. "Market turbulence and investor decision-making in currency option market," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).

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    More about this item

    Keywords

    COVID-19 pandemic; TVP-VAR; Russian–Ukrainian conflict; BRICS; Natural gas; Connectedness;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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