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Connectedness for natural gas and Asian stock markets: time-frequency and cross-quantile approaches

Author

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  • Luxi Sun
  • Cancan Wu
  • Xiaojing Cui
  • Yangsong Liu
  • Zichao Gao

Abstract

This study examines the interrelationship between 12 major Asian stock markets and the natural gas market using data from 4 January 2010, to 31 December 2023. We employ three primary methodologies: the Maximal Overlap Discrete Wavelet Transform (MODWT), the Cross-Quantilogram (CQ), and the TVP-VAR model to investigate the connectedness and spillover effects between these markets. Our findings indicate that the volatility of the natural gas market imparts positive predictability to Asian stock markets, though the specific extent of impact varies across time scales and quantile levels. Furthermore, results from the TVP-VAR analysis reveal significant spillovers within the network in the short term, with the natural gas market acting as a risk receiver. Specifically, risk spillovers occur in the Hong Kong Stock Exchange, the Taiwan Stock Exchange, the South Korea Stock Exchange, the Shanghai Stock Exchange, and the Singapore Stock Exchange, while other markets remain net risk receivers.

Suggested Citation

  • Luxi Sun & Cancan Wu & Xiaojing Cui & Yangsong Liu & Zichao Gao, 2025. "Connectedness for natural gas and Asian stock markets: time-frequency and cross-quantile approaches," Applied Economics, Taylor & Francis Journals, vol. 57(58), pages 10218-10236, December.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:58:p:10218-10236
    DOI: 10.1080/00036846.2024.2426818
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