TY - JOUR
T1 - Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market
AU - Roudari, Soheil
AU - Sadeghi, Abdorasoul
AU - Gholami, Samad
AU - Mensi, Walid
AU - Al-Yahyaee, Khamis Hamed
N1 - Publisher Copyright:
© 2023 Elsevier Ltd
PY - 2023/6
Y1 - 2023/6
N2 - Given Qatar's economic structure and geographical features, we examine the likely spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and stock markets using the spillover index developed by Diebold and Yilmaz (2012). The results show considerable spillover among the aforementioned variables. Natural gas and LNG are the net receivers of spillovers, whereas TPU and the stock market are net spillover transmitters. TPU had the lowest sensitivity in the network system, whereas natural gas and LNG had the highest sensitivities. Moreover, the measure of spillovers varies over time and jumps during financial and COVID-19 crises. TPU and the stock market were the strongest driving forces of spillover. In addition, while the stock market has the highest transmission of natural gas and LNG, consistent with the energy-oriented structure of corporations in Qatar's stock market, it showed the highest sensitivity to LNG and natural gas. Both forms of energies—natural gas and LNG—indicate noticeable sensitivity to the stock market and TPU, respectively. Moreover, TPU is more sensitive to natural gas and LNG shocks. These results have significant implications for investors, policymakers, and governments.
AB - Given Qatar's economic structure and geographical features, we examine the likely spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and stock markets using the spillover index developed by Diebold and Yilmaz (2012). The results show considerable spillover among the aforementioned variables. Natural gas and LNG are the net receivers of spillovers, whereas TPU and the stock market are net spillover transmitters. TPU had the lowest sensitivity in the network system, whereas natural gas and LNG had the highest sensitivities. Moreover, the measure of spillovers varies over time and jumps during financial and COVID-19 crises. TPU and the stock market were the strongest driving forces of spillover. In addition, while the stock market has the highest transmission of natural gas and LNG, consistent with the energy-oriented structure of corporations in Qatar's stock market, it showed the highest sensitivity to LNG and natural gas. Both forms of energies—natural gas and LNG—indicate noticeable sensitivity to the stock market and TPU, respectively. Moreover, TPU is more sensitive to natural gas and LNG shocks. These results have significant implications for investors, policymakers, and governments.
KW - Liquid natural gas
KW - Natural gas
KW - Spillovers
KW - Stock markets
KW - TPU
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U2 - 10.1016/j.resourpol.2023.103688
DO - 10.1016/j.resourpol.2023.103688
M3 - Article
AN - SCOPUS:85159558618
SN - 0301-4207
VL - 83
JO - Resources Policy
JF - Resources Policy
M1 - 103688
ER -